news entropy, we find that decreases are associated with two key features: an increase in uncertainty measures and a …

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 …, consumption and investment after two years around 0.5%, 0.3% and 1.5% respectively. Uncertainty on the other economic policies has …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … indices of monetary, fiscal and trade policy uncertainty for each country, as well as three measures of option-implied stock … strong sources of uncertainty spillovers throughout the sample period. …

estimate a large-scale FAVAR model for 18 OECD member countries. We quantify the global effects of economic policy uncertainty … and financial sector effects of uncertainty. In that respect, we compare the impacts of a US and a Euro area uncertainty … shock. According to our results, an increase in uncertainty has a strong negative impact on economic activity, consumer …

a large-scale FAVAR model for 18 OECD member countries. We quantify the global effects of economic policy uncertainty … and financial sector effects of uncertainty. In that respect, we compare the impacts of a US and a Euro area uncertainty … shock. According to our results, an increase in uncertainty has a strong negative impact on economic activity, consumer …

This paper analyses the interdependence of policy uncertainty from 1985 to 2017 across six different categories of US … Diebold and Yilmaz (2012, 2014) connectedness index methodology to the newspaper-based uncertainty indices developed by Baker … policy categories are strong net transmitters of uncertainty spillovers (e.g. fiscal policy), while others show only a low …

We estimate the effect of electorally induced policy uncertainty on investment in the manufacturing sector. Because …, and because the policies relevant to business investment vary systematically by party, uncertainty over the partisan … affiliation of the future governor is a source of political risk to firms considering business investment. More importantly, the …

I examine which economic uncertainty measures matter for the cross-section of corporate bond returns using 40 corporate … bond portfolios for a long period from 1973 to 2020. Out of a comprehensive list of 24 economic uncertainty measures, I … find that tax policy uncertainty is the most significant both economically and statistically. I also find that measures …