Policy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies
研究了54个发达、新兴和发展中经济体的财政与货币政策不确定性对宏观经济的影响，发现其类似负供给冲击，降低产出、投资和消费，推高通胀。
Abstract This study estimates two types of policy uncertainty measures—government spending and real interest rates—and their impact on macroeconomic activity in 54 advanced, emerging, and developing economies. Policy uncertainty is defined as the inability to predict policy moves, that is, the conditional volatility of policy shocks. This is achieved in a panel vector autoregression model which allows, but does not require, the stochastic volatility of identified shocks to have direct and dynamic effects on macroeconomic outcomes. It shows that fiscal and monetary policy uncertainty are damaging to economic activity and act like negative supply shocks: raising prices while lowering output, investment, and consumption. A one-standard-deviation government spending uncertainty shock decreases real gross domestic product (GDP) by a cumulative 1.0 percentage point and marginally increases inflation after two years. A one-standard-deviation real interest rate uncertainty shock lowers real GDP by a cumulative 1.3 percentage points after two years but raises inflation by 0.5 percentage points.