Evaluating Uncertainty Measures: An Empirical Analysis

This paper contributes to the literature on economic uncertainty by evaluating and comparing structural uncertainty indices, derived from estimated DSGE models, with a wide array of popular non-structural uncertainty measures. Specifically, we estimate seven structural uncertainty indicators from medium-scale DSGE models and assess their empirical properties relative to commonly used non-structural uncertainty metrics such as forecast dispersion, conditional volatility of forecast errors, news-based indices, and affine-model term premiums. We document strong countercyclicality and persistence across most uncertainty measures, with structural DSGE-based indices effectively capturing patterns seen in non-structural measures but also providing valuable insights into the underlying sources of uncertainty, particularly regarding financial frictions and expectation-driven distortions. Our findings underscore the complementary roles of structural and non-structural measures in macroeconomic uncertainty assessment, highlighting the potential of DSGE-based uncertainty indicators to inform policy analysis and deepen our understanding of uncertainty dynamics. JEL classification: D84, E30, E40