Measuring macroeconomic disagreement – A mixed frequency approach

B-Tier
Journal: Journal of Economic Behavior and Organization
Year: 2021
Volume: 189
Issue: C
Pages: 547-566

Authors (2)

Sheen, Jeffrey (Macquarie University) Wang, Ben Zhe (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a new measure of macroeconomic disagreement, using dispersions of forecasts of a wide range of financial, activity and inflation variables from both household and professional surveys at various frequencies. With a mixed-frequency state-space model, we construct macroeconomic disagreement estimates of the one-year ahead expected state of the economy. Impulse responses show disagreement shocks lead to a contraction in economic activity.

Technical Details

RePEc Handle
repec:eee:jeborg:v:189:y:2021:i:c:p:547-566
Journal Field
Theory
Author Count
2
Added to Database
2026-01-29