2021, Volume 74 - Issue 1
RSS feed citation: At RePEc
Publication date: 17 February 2021
EFFECTS OF SINO FDI ON THE GROWTH OF SUB-SAHARAN AFRICARead the article
CRUDE OIL PRICE MOVEMENTS AND STOCK TRADING ACTIVITY: EVIDENCE FROM INDONESIARead the article
THE EFFECT OF WATER CONSERVATION ON RESIDENTIAL FRESH WATER CONSUMPTION: EVIDENCE FROM KUWAITRead the article
SHORT AND LONG RUN ASYMMETRIC EFFECTS OF MONETARY AND FISCAL POLICY UNCERTAINTY ON ECONOMIC ACTIVITY IN THE U.S.Read the article
FOREIGN OWNERSHIP AND OPTIMAL DISCRIMINATORY TARIFFS UNDER OLIGOPOLISTIC COMPETITIONRead the article
Goodness C. AYE, Department of Economics, University of Pretoria, Pretoria, South Africa
This paper extends the ongoing literature on the macroeconomic effects of monetary and fiscal policy uncertainty. It examined the asymmetric effects of monetary and fiscal policy uncertainty on economic activity in the short and long run using U.S. monthly data from 1985M1 to 2017M2. The industrial production index is used as a measure of economic activity while the Baker et al. (2016) news based monetary and fiscal policy uncertainty were used as measures of uncertainty. To analyse asymmetry, the paper employed the nonlinear autoregressive distributed lag (NARDL) model which allows one not only to capture the effects of positive and negative uncertainty but to do so in both short and long run. Hence this paper provides new evidence of possible existence of a nonlinear and asymmetric relationship between policy uncertainty and economic activity in the short and long run. The results show that monetary and fiscal policy uncertainty share long run relationship with economic activity. Further, the effect of monetary and fiscal policy uncertainties in the long run is asymmetric. Asymmetric effect in the short run was supported only for monetary policy uncertainty. These findings have important practical and policy implications.
C32, E52, E62, F62
Monetary Policy, Fiscal Policy, Uncertainty, Asymmetry, Nonlinearity, Short Run, Long Run
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