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This paper provides survey evidence on firms' subjective uncertainty about future
sales growth from a new representative panel data set of the German manufacturing
sector. The main finding is that uncertainty reflects change: firms report
more subjective uncertainty after either high or low growth realizations. In the
cross section of firms, subjective uncertainty differs from statistical measures of
uncertainty such as volatility: fast-growing and large firms report lower subjective
uncertainty than fast-shrinking and small firms, respectively, even if they face
shocks of similar size. In contrast, the substantial time variation in firm-specific
subjective uncertainty resembles that in conditional volatility: both measures of
uncertainty are mildly persistent and rise more when growth is temporarily low.
