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Political uncertainty in a data-rich environment

Eric Scheffel ()

MPRA Paper from University Library of Munich, Germany

Abstract: We asses the general robustness of previous findings claiming that policy uncertainty exerts non-trivial influences on the US economy. Measuring the dynamic effects from a shock to policy uncertainty within a FAVAR model permits gauging the response of many more variables to policy uncertainty than is possible in a simple VAR model. Our results summarized by impulse responses are all corrected for small sample bias using a bootstrap-after-bootstrap method. Our findings support the view of policy uncertainty exerting a statistically significant influence on the economy, which is however not always as economically significant for a number of variables as found in previous studies.

Keywords: policy uncertainty; FAVAR; factor analysis; principal component analysis; impulse response analysis; small-sample bias (search for similar items in EconPapers)
JEL-codes: E22 H41 E23 E21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pol
Date: 2012-03-13
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https://mpra.ub.uni-muenchen.de/37318/1/MPRA_paper_37318.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/37353/1/MPRA_paper_37353.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37318

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