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A direct measure of subjective business uncertainty

  • Christian Glocker and Werner Hölzl ORCID logo EMAIL logo
Published/Copyright: July 8, 2021

Abstract

We present an uncertainty measure that is based on a business survey in which uncertainty is captured directly by a qualitative question on subjective uncertainty regarding expectations. Uncertainty perceptions display persistence at the firm level and changes are associated with past business assessments and expectations. While our uncertainty measure correlates with commonly used alternatives, it is superior in forecasting and suggests a larger role of uncertainty shocks for aggregate fluctuations. Its informational content is highest when considering smaller firms or firms with a low growth rate. Our results confirm the feasibility of constructing uncertainty measures from business survey questions that elicit information on uncertainty of respondents directly.

JEL Classification: E32; E37; E44; C80

Award Identifier / Grant number: 16736

Funding statement: Financial support from the Austrian National Bank (Oesterreichische Nationalbank–OeNB, grant number 16736) is gratefully acknowledged.

Acknowledgment

The authors would like to thank the editor (Jesús Crespo Cuaresma), two anonymous referees, Klaus Abberger, Christian Gayer, Andreas Reuter and Klaus Wohlrabe for valuable comments and helpful discussions. We are very grateful to Astrid Czaloun for research assistance. Preliminary versions were presented at the EU-OECD Workshop on Business and Consumer Surveys in Brussels 2017 and the CIRET Conference 2019 in Rio de Janeiro. All data (with the exception of confidential micro-data) and programmes are available upon request from the authors.

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Supplemental Material

The online version of this article offers supplementary material (https://doi.org/10.1515/ger-2021-0025).


Published Online: 2021-07-08
Published in Print: 2022-02-28

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