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Cover -- Contents -- I. Introduction -- II. Measuring Uncertainty: Aggregate vs. Sectoral -- A. The Effect of Uncertainty Shocks on Unemployment: Different Explanations -- B. Construction of the Uncertainty Indices from the U.S. Stock Market -- III. Structural VARs -- A. The Effects of Uncertainty Shocks -- B. Contribution of Uncertainty Shocks to Long-Term Unemployment during the Great Recession -- C. Robustness Checks -- IV. Conclusion -- References -- Figures -- 1. Uncertainty Index -- 2 Distribution of Aggregate and Sectoral Uncertainty Indices -- 3. Unemployment Rate (percent) -- 4. Response to Aggregate Uncertainty Shocks (7 Variable VAR) -- 5. Response to Sectoral Uncertainty Shocks (7 Variable VAR) -- 6. Forecast Error Decomposition of Unemployment Rate by Aggregate Uncertainty -- 7. Forecast Error Decomposition of Unemployment Rate by Sectoral Uncertainty -- 8. The Response of the Long-term Unemployment Rate to Uncertainty Shocks -- 9. Contribution of Uncertainty Shocks to the Long-term Unemployment Rate during the Great Recession -- 10a. Robustness Check: Estimation with Data from 1984Q1 to 2014Q3 -- 10b. Robustness Check: Estimation with Data from 1984Q1 to 2007Q4 -- 11. Robustness Check: 4 Variable VAR -- 12 Robustness Check: The Reverse Ordering of the Baseline VAR System -- 13 Robustness Check: Using 8 Lags instead of 4 Lags -- Appendix A. Construction of the Sectoral Uncertainty Index -- Table A1. Industrial Composition of the Sestoral Uncertainty Index

We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989–2010. We show that the degree of information rigidity in average forecasts is substantially higher than that in individual forecasts. Individual level forecasts are updated quite frequently, a behavior more in line "noisyâ€? information models (Woodford, 2002; Sims, 2003) than with the assumptions of the sticky information model (Mankiw and Reis, 2002). While there are cross-country variations in information rigidity, there is no systematic difference between advanced and emerging economies.