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dc.contributor.authorClaveria González, Oscar
dc.contributor.authorMonte Moreno, Enrique
dc.contributor.authorTorra Porras, Salvador
dc.contributor.otherUniversitat Politècnica de Catalunya. Departament de Teoria del Senyal i Comunicacions
dc.date.accessioned2020-07-09T13:58:06Z
dc.date.available2020-07-09T13:58:06Z
dc.date.issued2018-07-10
dc.identifier.citationClaveria, O.; Monte, E.; Torra Porras, S. "A geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations". 2018.
dc.identifier.urihttp://hdl.handle.net/2117/192750
dc.descriptionWorking paper
dc.description.abstractIn this study we present a geometric approach to proxy economic uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for economic uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement.
dc.format.extent26 p.
dc.language.isoeng
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.lcshEconomics -- Statistical methods
dc.subject.otherEconomic uncertainty
dc.subject.otherBarycentric coordinate system
dc.subject.otherUncertainty indicator
dc.titleA geometric approach to proxy economic uncertainty by a metric of disagreement among qualitative expectations
dc.typeExternal research report
dc.subject.lemacEconomia -- Mètodes estadístics
dc.contributor.groupUniversitat Politècnica de Catalunya. VEU - Grup de Tractament de la Parla
dc.relation.publisherversionhttp://www.ub.edu/irea/working_papers/2018/201806.pdf
dc.rights.accessOpen Access
local.identifier.drac28852077
dc.description.versionPreprint
dc.relation.projectidinfo:eu-repo/grantAgreement/MINECO/1PE/TEC2015-69266-P
dc.relation.projectidinfo:eu-repo/grantAgreement/MINECO/1PE/ECO2016-75805-R
local.citation.authorClaveria, O.; Monte, E.; Torra Porras, Salvador


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Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 3.0 Spain