Fiscal Policy in the US: A New Measure of Uncertainty and Its Recent Development

Anzuini, Alessio; Rossi, Luca

doi:10.2139/ssrn.3429141

Search citation statements

Order By: Relevance

Paper Sections

Select...

Fiscal Policy Uncertainty1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2020

Publication Types

Select...

Article1

Relationship

Self Cite1

Independent0

Authors

Journals

Cited by 1 publication

(1 citation statement)

References 21 publications

(29 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Section 2.1 showed that evidence on the appropriateness of the cross sectional dispersion as a measure of uncertainty is mixed. Therefore, we provide here evidence that at least for what concerns US Fiscal Policy Uncertainty, the disagreement-based FPU index in Anzuini and Rossi L. (2018) proxies well the underlying uncertainty.…”

Section: Fiscal Policy Uncertaintymentioning

confidence: 71%

Indicators of Uncertainty: A Brief User’s Guide

Rossi

2020

SSRN Journal

Self Cite

View full text Add to dashboard Cite

This work examines the benefits and risks of using available classes of uncertainty indexes for policy purposes, clustered in three broad categories: survey-based, model-based, and news-based. In both policy discussions and the academic literature newsbased indexes are the ones that have recently gained the most attention. We argue that the reasons behind this are their intuitiveness, transparency and real-time characteristics. The main trouble with these indexes, as they are constructed today, is their noisiness. We then suggest that, for policy purposes, it would be better to disregard very high frequency movements in the series. Finally, we highlight that well-developed probabilistic surveys still represent a hard-to-beat benchmark when one is interested in uncertainty concerning specific variables as opposed to more abstract concepts such as Economic Policy Uncertainty.

show abstract

Section: Fiscal Policy Uncertaintymentioning

confidence: 71%