Economic Uncertainty from Business Tendency Surveys: The Peruvian case

We develop novel survey-based measures of economic uncertainty using firm-level data from Peru’s Survey of Macroeconomic Expectations. These proxies, based on forecast dispersion and forecast errors, rise sharply during major domestic and global shocks, particularly the COVID-19 pandemic. Using Vector Autoregressions (VAR), we identify uncertainty shocks and estimate their macroeconomic effects. Such shocks are contractionary, leading to declines in output, investment, and employment, as well as currency depreciation and lower interest rates. Investment exhibits the largest and most immediate response, while employment adjusts more gradually. The results underscore the macroeconomic relevance of survey-based uncertainty measures in emerging market economies.