Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic uncertainty in both linear and nonlinear Bayesian VARs. For the latter I use a threshold VAR that allows for regimedependent dynamics conditional on the level of the uncertainty measure. I find that the predictive power of macroeconomic uncertainty in the linear VAR is negligible. In contrast, using information on macroeconomic uncertainty in a threshold VAR can significantly improve the accuracy of short-term point and density forecasts, especially in the presence of high uncertainty.

中文翻译：

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宏观经济不确定性和宏观经济总量预测

宏观经济不确定性信息能否提高美国关键宏观经济时间序列的预测准确性？由于之前的研究表明实体经济与不确定性之间的联系受非线性影响，因此我评估了线性和非线性贝叶斯 VAR 中宏观经济不确定性的预测能力。对于后者，我使用了一个阈值 VAR，它允许以不确定性度量水平为条件的依赖于制度的动态。我发现线性 VAR 中宏观经济不确定性的预测能力可以忽略不计。相比之下，在阈值 VAR 中使用宏观经济不确定性信息可以显着提高短期点和密度预测的准确性，尤其是在存在高度不确定性的情况下。