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Economic policy uncertainty in the US: Does it matter for Canada?

Author

Listed:
  • Md Rafayet Alam

    (Department of Economics, Southern Illinois University Carbondale, USA)

Abstract

This paper uses an indicator of economic policy uncertainty recently developed by Baker et al. (2013) to understand the impact of US economic policy uncertainty on Canada's economic activities. To accomplish this I apply a structural vector autoregression model with US and Canadian macroeconomic aggregates, and use short-term restrictions to identify the structural shocks. The analysis shows that a shock (an increase) to US economic policy uncertainty leads to a fall in Canadian output, price and Treasury bill rate. Moreover, the impact of US uncertainty shock on Canadian macroeconomic aggregates is larger than that of Canadian uncertainty shock.

Suggested Citation

  • Md Rafayet Alam, 2015. "Economic policy uncertainty in the US: Does it matter for Canada?," Economics Bulletin, AccessEcon, vol. 35(4), pages 2725-2732.
    • Handle: RePEc:ebl:ecbull:eb-14-01026
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Economic Policy Uncertainty; SVAR;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E0 - Macroeconomics and Monetary Economics - - General

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