In this study we evaluate the dynamic response of different macroeconomic variables to shocks in agents’ perception of three dimensions of uncertainty (economic, inflation and employment). First, we apply a geometric indicator to compute the proportion of disagreement in business and consumer expectations of eight European countries and the Euro Area. Next, we use a bivariate vector autoregressive framework to estimate the impulse response functions to innovations in disagreement. While we find an adverse reaction in unemployment rates to shocks in discrepancy, results differ markedly between disagreement in business and in consumer surveys with regard to economic growth and inflation: shocks to manufacturing production discrepancy lead to a decrease in economic activity, as opposed to shocks to consumer economic discrepancy; and the opposite in the case of a shock in the perception of price uncertainty. Finally, we perform a forecasting exercise to assess the predictive performance of the disagreement indicators for different time horizons, obtaining more accurate out-of-sample recursive forecasts of economic growth with the indicators of discrepancy of manufacturing firms and, of unemployment with the indicators of consumer discrepancy. When compared to recursive autoregressive predictions used as a benchmark, we find that vector autoregressions with industry discrepancy tend to outperform the benchmark in more cases that models with indicators of consumer discrepancy.

在这项研究中，我们评估了不同的宏观经济变量对代理商对不确定性的三个维度（经济，通货膨胀和就业）的感知所产生的冲击的动态响应。首先，我们使用几何指标来计算八个欧洲国家和欧元区在商业和消费者期望中的分歧比例。接下来，我们使用一个二元向量自回归框架来估计对创新分歧的冲激响应函数。尽管我们发现失业率对差异冲击有不利影响，但在经济增长和通货膨胀方面，企业和消费者调查的分歧之间的结果明显不同：与生产差异有关的冲击导致经济活动减少，而与冲击相反消费者经济差异；相反，如果对价格不确定性的看法感到震惊，情况就会相反。最后，我们进行了一项预测演习，以评估不同时间段内分歧指标的预测性能，获得更准确的经济增长的样本外递归预测，其中包括制造业企业的差异指标，以及失业率与指标之间的差异。消费者差异。当与递归自回归预测作为基准进行比较时，我们发现具有行业差异的向量自回归在具有消费者差异指标模型的更多情况下往往优于基准。使用制造企业差异指标获得更准确的经济增长的样本外递归预测，以及使用消费者差异指标获得失业的更精确的递归预测。当与递归自回归预测作为基准进行比较时，我们发现具有行业差异的向量自回归在具有消费者差异指标模型的更多情况下往往优于基准。使用制造企业差异指标获得更准确的经济增长的样本外递归预测，以及使用消费者差异指标获得失业的更精确的递归预测。当与递归自回归预测作为基准进行比较时，我们发现具有行业差异的向量自回归在具有消费者差异指标模型的更多情况下往往优于基准。