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Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach

Author

Listed:
  • Hedi Ben Haddad

    (Imam Mohammad Ibn Saud Islamic University (IMSIU)
    High Business School of Sfax, University of Sfax)

  • Imed Mezghani

    (Imam Mohammad Ibn Saud Islamic University (IMSIU)
    High Business School of Sfax, University of Sfax)

  • Imed Medhioub

    (Imam Mohammad Ibn Saud Islamic University (IMSIU)
    High Business School of Sfax, University of Sfax)

  • Sohale Altamimi

    (Imam Mohammad Ibn Saud Islamic University (IMSIU))

Abstract

This paper employs a quantile vector autoregressive approach to compare the extent of connectedness between macroeconomic uncertainty and U.S. real activity in normal and extreme economic and financial conditions. Based on a database ranging from January 1960 to February 2023 and using the methodology of Jurado et al. (Am Econ Rev 105(3):1177–1216, 2015), we derive, first, eight real and financial uncertainty measures based on 134 macroeconomic indicators. Second, we examine the quantile connectedness among the eight estimated macroeconomic uncertainties and real activity. The results indicate that real activity is strongly (weakly) influenced by the extremely high (low) values of the real and financial uncertainty estimates, indicating asymmetric spillover effects of US macroeconomic uncertainties on real economic activity. Among the real and financial uncertainty estimates, the real output uncertainty blocks are the most important transmitters of shocks to real activity under looser economic and financial conditions. However, under tighter economic and financial conditions, higher output and income and stock market uncertainty blocks are the major spillover transmitters of shocks to real activity. Finally, connectedness between macroeconomic uncertainties and real activity exhibits the highest level during the recent COVID-19 pandemic outbreak at various quantiles.

Suggested Citation

  • Hedi Ben Haddad & Imed Mezghani & Imed Medhioub & Sohale Altamimi, 2024. "Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach," Empirical Economics, Springer, vol. 66(2), pages 829-858, February.
  • Handle: RePEc:spr:empeco:v:66:y:2024:i:2:d:10.1007_s00181-023-02474-y
    DOI: 10.1007/s00181-023-02474-y
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    More about this item

    Keywords

    Connectedness index; Spillover effects; Uncertainty; Financial crisis; Quantile VAR;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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