Riassunto analitico
Besides a few investigations during the 1980s, the global financial crisis of 2008 aroused new interest in the role of uncertainty in economic fluctuations. Several studies propose new methods to quantify its effects, if any, at macroeconomic level, and existing empirical research has often found important dynamic relationships between real activity and various uncertainty proxies. The aim of this thesis is to suggest an alternative method to obtain uncertainty measures, and to focus on the index of monetary policy uncertainty, in order to assess its effects on macroeconomic variables. The econometric approach used to carry out the analysis consists of three steps. In the first step, we estimate the conditional expected distribution of the selected variables through quantile regressions. This allows us to get the uncertainty measures relative to each of the included variable, since they are defined as linear combinations of some of the estimated percentiles. The second step consists of the identification of a monetary policy uncertainty shock in a VAR model. In the third and final step, we combine the impulse response functions resulting from the second step with the coefficients of the quantile regressions to obtain the dynamic responses of the variables to the shock. All uncertainty measures are sufficiently correlated with each other, suggesting that the obtained measures are separate and distinct. Moreover, our indicators are consistent with other measures already existing in literature, except from the EPU index (Baker et al., 2016), since it is more correlated to macroeconomic uncertainty rather than to our measures of economic policy uncertainty. Using quarterly U.S. data from 1960: I - 2021: III, we first find that the shock has significant recessive effects in the initial quarters. However, the combination of two orthogonality restrictions on the effects of the shock reveals that monetary policy uncertainty does not have significant effects on economic activity. The developed approach can be used to expand the investigation by analysing the macroeconomic effects of a government spending uncertainty shock, or, again, by combining the two indices in order to provide a new measure of economic policy uncertainty.
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