Publication:
Policy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies

Simple item page
dc.contributor.authorMumtaz, Haroon
dc.contributor.authorRuch, Franz Ulrich
dc.date.accessioned2023-09-12T18:05:39Z
dc.date.available2023-09-12T18:05:39Z
dc.date.issued2023-09-12
dc.description.abstractThis paper identifies 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 point.en
dc.identifierhttp://documents.worldbank.org/curated/en/099225009112325487/IDU14ebfbcdf1e343147b91969714a2b11c8a77f
dc.identifier.doi10.1596/1813-9450-10564
dc.identifier.urihttps://openknowledge.worldbank.org/handle/10986/40341
dc.languageEnglish
dc.language.isoen
dc.publisherWashington, DC: World Bank
dc.relation.ispartofseriesPolicy Research Working Paper; 10564
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttps://creativecommons.org/licenses/by/3.0/igo/
dc.subjectPOLICY UNCERTAINTY
dc.subjectMONETARY POLICY
dc.subjectFISCAL POLICY
dc.titlePolicy Uncertainty and Aggregate Fluctuationsen
dc.title.subtitleEvidence from Emerging and Developed Economiesen
dc.typeWorking Paper
dspace.entity.typePublication
okr.associatedcontenthttps://reproducibility.worldbank.org/index.php/catalog/81 Link to reproducibility package
okr.crossref.titlePolicy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies
okr.date.disclosure2023-09-11
okr.date.doiregistration2025-04-07T08:44:21.251295Z
okr.date.doiregistration2025-04-08T16:22:04.089088Z
okr.date.doiregistration2025-04-09T02:54:20.385469Z
okr.date.lastmodified2023-09-11T00:00:00Zen
okr.doctypePolicy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/099225009112325487/IDU14ebfbcdf1e343147b91969714a2b11c8a77f
okr.guid099225009112325487
okr.identifier.docmidIDU-4ebfbcdf-e343-47b9-9697-4a2b11c8a77f
okr.identifier.doi10.1596/1813-9450-10564
okr.identifier.doihttp://dx.doi.org/10.1596/1813-9450-10564
okr.identifier.externaldocumentum34159137
okr.identifier.internaldocumentum34159137
okr.identifier.reportWPS10564
okr.import.id1750
okr.importedtrueen
okr.language.supporteden
okr.pdfurlhttp://documents.worldbank.org/curated/en/099225009112325487/pdf/IDU14ebfbcdf1e343147b91969714a2b11c8a77f.pdfen
okr.region.geographicalWorld
okr.topicMacroeconomics and Economic Growth::Inflation
okr.topicMacroeconomics and Economic Growth::Fiscal & Monetary Policy
okr.topicMacroeconomics and Economic Growth::Business Cycles and Stabilization Policies
okr.unitProspects Group (DECPG)
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
Files
Original bundle
Now showing 1 - 2 of 2
Thumbnail Image
Name:
IDU14ebfbcdf1e343147b91969714a2b11c8a77f.pdf
Size:
8.62 MB
Format:
Adobe Portable Document Format
Download
No Thumbnail Available
Name:
IDU14ebfbcdf1e343147b91969714a2b11c8a77f.txt
Size:
108.62 KB
Format:
Plain Text
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download
Collections
Policy Research Working Papers