  When agents' information is imperfect and dispersed, existing measures of
macroeconomic uncertainty based on the forecast error variance have two
distinct drivers: the variance of the economic shock and the variance of the
information dispersion. The former driver increases uncertainty and reduces
agents' disagreement (agreed uncertainty). The latter increases both
uncertainty and disagreement (disagreed uncertainty). We use these implications
to identify empirically the effects of agreed and disagreed uncertainty shocks,
based on a novel measure of consumer disagreement derived from survey
expectations. Disagreed uncertainty has no discernible economic effects and is
benign for economic activity, but agreed uncertainty exerts significant
depressing effects on a broad spectrum of macroeconomic indicators.
