Title page
Contents
Abstract 3
1. Introduction 4
2. Uncertainty Measures and their Predictive Power over a Large Macroeconomic Data Set 10
2.1. Race horses: seven uncertainty measures plus EBP and NFCI 10
2.2. In-sample predictive regression 10
2.3. Out-of-sample forecasting 11
3. Marginal Predictability of Uncertainty over EBP 13
4. GDP Growth Distribution and Uncertainty 14
5. Summary of the Sub-sample Analysis 15
6. Real-time Data Issues 17
6.1. Uncertainty in Real-time 17
6.2. Forecasting real time macro data 18
7. Conclusion 20
References 20
Table 1. Correlations among Uncertainty measures: 1990:1-2018:6 23
Table 2. Summary table of in-sample predictive regression results 24
Table 3. Summary table of out-of-sample forecasting 24
Table 4. Monthly in-sample predictive regression in Gilchrist & Zakrajsek (2012): 1990:1-2018:6 25
Table 5. Quarterly In-sample predictive regression in Gilchrist & Zakrajsek (2012): 1990:I-2018:II 26
Table 6. In-sample predictive quantile regression for GDP growth 27
Table 7. Real-time and ex-post uncertainty predictability for the McCracken-Ng database series 28
Table 8. Real-time and ex-post uncertainty predictability for real-time McCracken-Ng database 29
Table 9. Real-time and ex-post GDP growth quantile regressions: in-sample prediction 30
Figure 1. Real time MU v.s. Ex-post MU 8
Figure 2. Quantiles of real-time GDP growth with real-time MU and ex-post GDP growth with ex-post MU 2002:I-2018:III 9
Figure 3. Uncertainty Measures 31
Figure 4. Bar chart of GDP growth with uncertainty measures: Group 1 1978:I-2018:III 32
Figure 5. Bar chart of GDP growth with uncertainty measures: Group 2 1990:I-2018:II 33
Figure 6. Real time MU v.s. ex-post MU 34
Figure 7. real time FU v.s. ex-post FU 35
Figure 8. real time v.s. ex-post uncertainty in SPF 36