Political uncertainty in a data-rich environment
Eric Scheffel ()
MPRA Paper from University Library of Munich, Germany
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)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:37318
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