Ozturk, Ezgi O.; Sheng, Xuguang - 2017
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster … into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of … 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global …