A0405
Title: Measuring and explaining economic uncertainty across US states and metropolitan areas
Authors: Eric Ghysels - University of North Carolina Chapel Hill (United States) [presenting]
Gerald Cohen - University of North Carolina Chapel Hill (United States)
Cody Morris - University of North Carolina Chapel Hill (United States)
Jieyao Wang - University of North Carolina Chapel Hill (United States)
Abstract: Novel measures are constructed of economic uncertainty at the state and extended metropolitan area (EMA) levels using forecast errors from predictive models of GDP growth. At the state level, uncertainty measures are developed based on sparse-group LASSO MIDAS regressions, incorporating structural adjustments for crisis periods. For EMAs, a stacked sg-LASSO MIDAS fixed effects model is estimated, and a forecast error decomposition is applied to extract quarterly uncertainty shocks from annual GDP data. Results show that EMA uncertainty follows similar patterns to state and macroeconomic uncertainty measures but exhibits distinct fluctuations in normal periods, providing new insights into localized economic uncertainty.
