| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9694 |
| DP9694 Policy Uncertainty and Aggregate Fluctuations | |
| Haroon Mumtaz; Paolo Surico | |
| 发表日期 | 2013-10-20 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper estimates the impact on the US economy of four types of uncertainty about (i) government spending, (ii) tax changes, (iii) public debt sustainability and (iv) monetary policy. Following a one standard deviation shock, uncertainty about debt sustainability has the largest and most significant impact on real activity, with negative effects on output, consumption and investment after two years around 0.5%, 0.3% and 1.5% respectively. Uncertainty on the other economic policies has also detrimental consequences but these tend to be smaller and short-lived, especially for taxes and monetary policy. About 30% of output fluctuations are explained by policy uncertainty at most frequencies, with the lion?s share accounted for by debt sustainability. Our results are based on a new empirical framework that allows the volatility of identified shocks to have a direct impact on the endogenous variables of an otherwise standard structural VAR. |
| 主题 | International Macroeconomics |
| 关键词 | Debt sustainability Economic policy uncertainty Long-run effects. |
| URL | https://cepr.org/publications/dp9694 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538530 |
| 推荐引用方式 GB/T 7714 | Haroon Mumtaz,Paolo Surico. DP9694 Policy Uncertainty and Aggregate Fluctuations. 2013. |
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