"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: 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: fiscal policy uncertainty; news-based uncertainty; VAR

JEL Classification:
      E61 Policy Objectives; Policy Designs and Consistency; Policy Coordination
      E62 Fiscal Policy
      E65 Studies of Particular Policy Episodes

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Published Versions

V1 [2025-05-27]

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