Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses.

IF 3 4区 社会学 Q1 SOCIAL SCIENCES, INTERDISCIPLINARY
Yang Hu, Yanran Hong, Kai Feng, Jikai Wang
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引用次数: 6

Abstract

Monetary policy changes have an irreplaceable impact on economic activity. Considering the close linkage among economic policies, we employ a bi-directional Granger causality test to investigate the potential linkages between monetary policy uncertainty (MPU) and other categorical economic policy uncertainty (CEPU) in the time and frequency domains. We consider all news-based U.S. categorical economic policy uncertainty indices (CEPU). All monthly CEPU indicators, covering January 1986 to January 2022, can be obtained from the website of Economic Policy Uncertainty. On an average, causality running from each CEPU to MPU is not apparent, while MPU can significantly affect six policy-related uncertainties: taxes, government spending, health care, national security, entitlement programs and regulation. A further frequency-domain study showed the dynamic changes in the relationship between them. For instance, we capture mid- and long-run causality running from tax uncertainty to MPU, while MPU has an impact on taxes in the medium run. Our findings provide policymakers with a better understanding of the nexus between MPU and other CEPU for formulating appropriate economic policies. Particularly, if a sectional government considers the long- and short-term effects of different policies when formulating strategies, risk transmission may be curbed to some extent.

评估货币政策不确定性的重要性:长期和短期影响及对策。
货币政策的变化对经济活动具有不可替代的影响。考虑到经济政策之间的紧密联系,我们采用双向格兰杰因果检验来研究货币政策不确定性(MPU)与其他类别经济政策不确定性(CEPU)在时间和频率域上的潜在联系。我们考虑所有基于新闻的美国绝对经济政策不确定性指数(CEPU)。1986年1月至2022年1月期间的所有月度CEPU指标均可从经济政策不确定性网站获得。平均而言,从每个CEPU到MPU之间的因果关系并不明显,而MPU可以显著影响六个与政策相关的不确定性:税收、政府支出、医疗保健、国家安全、福利计划和监管。进一步的频域研究显示了它们之间关系的动态变化。例如,我们捕捉了从税收不确定性到MPU的中长期因果关系,而MPU在中期对税收有影响。我们的研究结果为决策者更好地理解MPU和其他CEPU之间的联系,以制定适当的经济政策提供了帮助。特别是,如果一个地方政府在制定策略时考虑到不同政策的长期和短期影响,可能会在一定程度上遏制风险的传递。
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来源期刊
Evaluation Review
Evaluation Review SOCIAL SCIENCES, INTERDISCIPLINARY-
CiteScore
2.90
自引率
11.10%
发文量
80
期刊介绍: Evaluation Review is the forum for researchers, planners, and policy makers engaged in the development, implementation, and utilization of studies aimed at the betterment of the human condition. The Editors invite submission of papers reporting the findings of evaluation studies in such fields as child development, health, education, income security, manpower, mental health, criminal justice, and the physical and social environments. In addition, Evaluation Review will contain articles on methodological developments, discussions of the state of the art, and commentaries on issues related to the application of research results. Special features will include periodic review essays, "research briefs", and "craft reports".
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