Measuring economic and economic policy uncertainty, and their macroeconomic effects: the case of Spain

Corinna Ghirelli, María Gil, Javier Pérez and Alberto Urtasun
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María Gil: Banco de España

No 1905, Working Papers from Banco de España

Abstract: We provide additional evidence on the relationship between uncertainty and economic activity. For this purpose, we gather and construct a wide range of proxy indicators of economic and economic policy uncertainty from Spain. We distinguish between the relative merits of different types of measures based on: (i) the volatility of financial markets; (ii) economic analysts’ disagreement; (iii) economic policy uncertainty. We show that the first and the third block of measures are the most relevant to grasp the negative effects of unexpected changes in uncertainty on aggregate economic developments, as measured by real GDP. In addition, we find that economic policy uncertainty and financial uncertainty shocks produce visible negative effects on private consumption. The negative responses on capital goods investments are initially bigger in magnitude but vanish more quickly.

Keywords: economic uncertainty; economic policy uncertainty; impact of uncertainty shocks (search for similar items in EconPapers)
JEL-codes: C43 D8 E2 E3 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2019-03
New Economics Papers: this item is included in nep-eec, nep-fdg and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Measuring economic and economic policy uncertainty and their macroeconomic effects: the case of Spain (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1905

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