Policy uncertainty and aggregate fluctuations

Haroon Mumtaz and Paolo Surico

Journal of Applied Econometrics, 2018, vol. 33, issue 3, 319-331

Abstract: This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt, and (iv) monetary policy. Uncertainty about government debt has a large and persistent effect on output, consumption, investment, consumer confidence, and business confidence. Uncertainty about tax changes also has detrimental consequences for real activity but the effect of spending and monetary policy uncertainty appears to be small. About 25% of output fluctuations are accounted for by policy uncertainty, with government debt making the largest contribution at longer horizons.

Date: 2018
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https://doi.org/10.1002/jae.2613

Related works:
Working Paper: Policy Uncertainty and Aggregate Fluctuations (2013)
Working Paper: Policy Uncertainty and Aggregate Fluctuations (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:33:y:2018:i:3:p:319-331

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