世界银行-政策不确定性与总量波动：来自新兴和发达经济体的证据（英）-2023.9-52页_8mb

Summary

This paper examines the impact of fiscal and monetary policy uncertainty on macroeconomic fluctuations across 54 economies, including 32 advanced economies and 22 emerging markets and developing economies (EMDEs). Policy uncertainty is defined as the conditional volatility of policy shocks, specifically in areas like government spending and real interest rates. A panel vector autoregression model with stochastic volatility is used to isolate these uncertainty shocks and measure their effects.

Key findings show that both fiscal (government spending) and monetary (real interest rate) uncertainty shocks reduce real GDP, private consumption, and fixed investment, while also increasing prices. The government spending shock decreases GDP by 1 percentage point cumulatively after two years, and monetary policy uncertainty reduces GDP by about 1.3 percentage points.

Effects vary by economy type: Fiscal uncertainty is more harmful in advanced economies, potentially due to efficient spending and larger fiscal multipliers, while monetary uncertainty has a greater negative impact on output and inflation in EMDEs, which may stem from less anchored inflation expectations and reliance on external debt for consumption smoothing.

Policy uncertainty explains about 5% to 12% of output variation in the long run and has significantly contributed to economic fluctuations since the COVID-19 pandemic, with rapid spikes in recent years. The model's extension to handle fat-tailed disturbances improves accuracy by filtering out transitory volatility.

In conclusion, policy uncertainty, driven by unprecedented fiscal and monetary actions during crises, exacerbates economic instability. The paper provides the first comprehensive cross-sample analysis, highlighting practical policy implications for managing global economic fluctuations.

Methodology: Employed Bayesian estimation with 21,000 iterations, using data from 1980Q1 to 2022Q4 for key variables like GDP, inflation, and interest rates. Identified uncertainty shocks through Cholesky decomposition and alternative approaches.