FGV IBRE Daily Uncertainty Indicator available on Bloomberg

FGV’s uncertainty indicator is the result of the aggregation of two components. The first is the Media Uncertainty Indicator, which reflects the incidence of terms related to uncertainty in articles published in seven of Brazil’s major newspapers. The second component is the Expectations Dispersion Indicator. It is based on the dispersion of experts’ forecasts for selected macroeconomic variables
Economics
14 August 2020
FGV IBRE Daily Uncertainty Indicator available on Bloomberg

The crisis triggered by COVID-19 has raised uncertainty to levels well above previous all-time highs. In this environment, in which Brazilian and global economic and social conditions have been changing ever more quickly, Fundação Getulio Vargas’ Brazilian Institute of Economics (FGV IBRE) will launch its Daily Uncertainty Indicator data on the Bloomberg Terminal at {ALLX FGVU <GO>}.

FGV’s uncertainty indicator is the result of the aggregation of two components. The first, with an 80% weighting, is the Media Uncertainty Indicator, which reflects the incidence of terms related to uncertainty in articles published in seven of Brazil’s major newspapers. Approximately 30,000 news stories published in these media outlets are analyzed per month. The second component is the Expectations Dispersion Indicator, which has a weighting of 20%. It is based on the dispersion of experts’ forecasts for selected macroeconomic variables, using data extracted from the Central Bank’s Focus Bulletin.

FGV IBRE will publish the total (aggregate) indicators on a daily basis on the Bloomberg Terminal, based on information obtained in two periods: in the last 28 days and the last seven calendar days. In addition, the Media Indicator will be released daily, using data collected in the last three calendar days, allowing a higher frequency of uncertainty perceptions.

“As we have seen, uncertainty is a variable that affects both investment decisions by companies and discretionary spending by consumers. In the case of companies, this is very clear. Our studies show that when we see a 10-point increase in uncertainty, productive investments are impacted for at least the two following quarters,” explained Aloisio Campelo Jr., FGV IBRE’s superintendent of public statistics.

In times of high instability like nowadays, high-frequency indicators are even more relevant. According to Ricardo Brandão, a researcher at FGV IBRE, this crisis has different components. “In addition to uncertainty about how long this process will drag on, we are living in a moment of economic impossibilities, in which we cannot go out and consume. It is a crisis of a different nature from the one that gave rise to these indicators,” he said.

According to Campelo, the intention in launching a daily indicator is to support market decision making based on the latest data. FGV IBRE decided to publish it on the Bloomberg Terminal because this platform is widely used in the national and international markets, especially by people seeking this type of more specialized data.

“High-frequency information can help macroeconomic analysts who work with monthly and quarterly models, by giving them an early view of the direction of uncertainty. As this information is daily, operators will be able to position themselves in the markets, on a daily basis, in the best possible way. We decided to launch this product through Bloomberg because most institutions that have an economic department and carry out a large volume of operations in the markets use the company’s terminals. Bloomberg is also present in the international markets and it can provide access to these high-frequency products, including information about Brazil, to countries and markets that may be interested in them,” Campelo said.

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