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Uncertainty Matters: Evidence from Close Elections

In: NBER International Seminar on Macroeconomics 2019

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  • Chris Redl

Abstract

This paper uses a data rich environment to produce direct econometric estimates of macroeconomic and financial uncertainty for 11 advanced nations. These indices exhibit significant independent variation from popular proxies and provide a refinement of the influential work of [Jurado et al., 2015] that results in improved real-time performance. We use this new data in combination with narrative evidence to jointly identify macro uncertainty and financial shocks. Macro uncertainty shocks are identified with close elections and financial shocks with financial stress during financial crises. We find that macro uncertainty shocks matter for the majority of countries and that the real effects of macro uncertainty shocks are generally larger conditioning on close elections. These results are robust to controlling for news shocks and global uncertainty as well as a variety of shocks considered to be important drivers of the business cycle.
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  • Chris Redl, 2019. "Uncertainty Matters: Evidence from Close Elections," NBER Chapters, in: NBER International Seminar on Macroeconomics 2019, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:14317
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    Cited by:

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    6. Miescu, Mirela S., 2023. "Uncertainty shocks in emerging economies: A global to local approach for identification," European Economic Review, Elsevier, vol. 154(C).
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    15. Himounet, Nicolas, 2022. "Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks," International Economics, Elsevier, vol. 170(C), pages 1-31.
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    17. Andreas Dibiasi & Samad Sarferaz, 2020. "Measuring Macroeconomic Uncertainty: The Labor Channel of Uncertainty from a Cross-Country Perspective," Papers 2006.09007, arXiv.org, revised Dec 2020.
    18. Giovanni Caggiano & Efrem Castelnuovo, 2023. "Global financial uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 432-449, April.
    19. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
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    More about this item

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • D72 - Microeconomics - - Analysis of Collective Decision-Making - - - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior

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