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Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data

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  • Yanele Nyamela
  • Vasilios Plakandaras
  • Rangan Gupta

Abstract

In this paper, we analyse the impact of uncertainty shocks at the daily-frequency on key macroeconomic variables for the United States. In doing so, we use a vector autoregressive (VAR) model, including the inflation rate, a real-time measure of economic activity and a measure of monetary policy as endogenous variables and decompose uncertainty effects into short, medium and long-term based on a discrete-time Fourier transformation. Aggregate results (prior to decomposition) show that an increase in economic uncertainty has a significant expansionary impact on monetary policy. However, when we decompose uncertainty into its short-, medium- and long-run components, we find that economic activity is affected negatively in a statistically significant manner to shocks in low-frequency uncertainty, while, statistically significant monetary expansion is observed under shocks to relatively high frequencies of uncertainty.

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  • Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2020. "Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data," Applied Economics Letters, Taylor & Francis Journals, vol. 27(19), pages 1562-1566, November.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:19:p:1562-1566
    DOI: 10.1080/13504851.2019.1697419
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    Cited by:

    1. Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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