"Data and Code for: The Macroeconomic Effects of Fiscal Policy Uncertainty around the World"
Principal Investigator(s): View help for Principal Investigator(s) Gee Hee Hong, International Monetary Fund; Shikun (Barry) Ke, Yale University; Anh Dinh Minh Nguyen, International Monetary Fund
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| Replication_AERPP_Final | 05/23/2025 01:15:AM |
Project Citation:
Hong, Gee Hee , Ke, Shikun (Barry), and Nguyen, Anh Dinh Minh. “Data and Code for: The Macroeconomic Effects of Fiscal Policy Uncertainty around the World.” Nashville, TN: American Economic Association [publisher], 2025. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-05-27. https://doi.org/10.3886/E228943V1
Project Description
Summary:
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How adverse is the impact of fiscal policy uncertainty on
economic and financial variables? To answer this question, we construct a novel
cross-country database of news-based fiscal policy uncertainty indicators. Importantly,
we track fiscal events that attract global attention, which we refer to as “global”
fiscal policy uncertainty. We find that heightened fiscal policy uncertainty triggers
contractionary effects, lowering industrial production in both advanced and
emerging market economies. It also raises sovereign borrowing costs, generates
synchronous movements in global financial variables including risk aversion, and
strengthens the US dollar, even after accounting for US monetary policy shocks.
Scope of Project
Subject Terms:
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fiscal policy uncertainty;
news-based uncertainty;
VAR
JEL Classification:
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E61 Policy Objectives; Policy Designs and Consistency; Policy Coordination
E62 Fiscal Policy
E65 Studies of Particular Policy Episodes
E61 Policy Objectives; Policy Designs and Consistency; Policy Coordination
E62 Fiscal Policy
E65 Studies of Particular Policy Episodes
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