Does Economic Policy Uncertainty differ from other uncertainty measures? Replication of Baker, Bloom, and Davis (2016)
本文复制了Baker等人(2016)的研究，发现经济政策不确定性指数在2008年9月至2019年12月期间对美国经济无显著影响，而其他不确定性指标仍有抑制作用，但加入新冠时期后该指数再次显著抑制经济活动。
Abstract This paper revisits Baker et al.'s (2016) main finding that shows the significant negative impacts of shocks to the Economic Policy Uncertainty index on the US aggregate economic activity. We focus on subsample analyses with sample periods extended to December 2022. We find that shocks to the index do not significantly affect the economy during the period from September 2008 to December 2019, in contrast to significant negative impacts found in the sample ending earlier. Interestingly, this feature is specific to the Economic Policy Uncertainty index, while other popular uncertainty measures retain downward pressures on the economy across all of the subsample periods under examination. Economic Policy Uncertainty again deters economic activity once the COVID‐19 period is included in the sample, implying that the size of shocks and/or the state of the economy may play an additional role for its transmission.