Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data

Yanele Nyamela (), Vasilios Plakandaras and Rangan Gupta
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Yanele Nyamela: Department of Economics, University of Pretoria, Pretoria, South Africa

No 201833, Working Papers from University of Pretoria, Department of Economics

Abstract: In this paper, we analyze the impact of uncertainty shocks at the daily-frequency on key macroeconomic variables for the United States. In doing so, we use a vector autoregressive (VAR) model, including the inflation rate, a real-time measure of economic activity and a measure of monetary policy as endogenous variables and decompose uncertainty effects into short, medium and long-term based on a discrete-time Fourier transformation. Aggregate results (prior to decomposition) show that an increase in economic uncertainty has a significant expansionary impact on monetary policy. However, when we decompose uncertainty into its short-, medium- and long-run components, we find that economic activity is affected negatively in a statistically significant manner to shocks in low-frequency uncertainty, while, statistically significant monetary expansion is observed under shocks to relatively high frequencies of uncertainty.

Keywords: Uncertainty; Frequency-Dependence; Daily Data (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 E52 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2018-05
New Economics Papers: this item is included in nep-ets and nep-mac
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Journal Article: Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201833

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