We construct a novel measure of uncertainty using expert monetary policy recommendation data for Australia. Our results suggest that the Reserve Bank of Australia (RBA) tends to lower the cash rate when expert uncertainty is high. This result is robust to using other uncertainty measures

We identify a U.S.-driven factor using a monthly panel of fifteen bilateral exchange rates against the U.S. dollar since 1999. We find this factor is closely related to nominal and real macroeconomic variables, as well as financial market variables from the U.S. Using this factor alone, we show...

A novel measure of two classes of monthly commodity price uncertainty is constructed by applying mixed-frequency state-space modelling to price forecasts of six energy and fourteen metal commodities. Energy price uncertainty shocks are contractionary for the world economy, while metal price...

A novel measure of two classes of monthly commodity price uncertainty is constructed by applying mixed-frequency state-space modelling to forecasts of prices of six energy and fourteen metal commodities. Energy price uncertainty shocks are found to be contractionary for the world economy, while...