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Advances in Decision Sciences (ADS)

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Published by Asia University, Taiwan; Scientific and Business World

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A Comparative Assessment of the Global Effects of US Monetary and Fiscal Policy Uncertainty Shocks

A Comparative Assessment of the Global Effects of US Monetary and Fiscal Policy Uncertainty Shocks

Title

A Comparative Assessment of the Global Effects of US Monetary and Fiscal Policy Uncertainty Shocks

Authors

  • Raymond L. Aor
    (Department of Economics, Benue State University, Makurdi, Nigeria)
  • Afees A. Salisu
    (Centre for Econometrics and Applied Research, Ibadan, Nigeria)
  • Isah J. Okpe
    (Department of Economics, Benue State University, Makurdi, Nigeria)

Abstract

We employ the Global Vector Autoregressive (GVAR) model to trace the propagation effects of both U.S. monetary and fiscal policy uncertainty shocks on real equity prices and real gross domestic product of 32 advanced and emerging countries (besides the U.S.). Using quarterly data over 1985Q1 to 2019Q4, our findings reveal a higher response of advanced markets than emerging counterparts to a unit shock to both U.S. fiscal and monetary policy uncertainties. However, regardless of the market classification, we show that real equity prices respond more to monetary policy uncertainty shock than real gross domestic product while the reverse holds for fiscal policy uncertainty shock. Our results offer important implications for investment and policy decisions.

Keywords

Fiscal Policy Uncertainty, Monetary Policy Uncertainty, Real equity prices, Real Gross Domestic Product, GVAR Model, US

Classification-JEL

C32, E63 G15, O47

Pages

89-114

https://doi.org/10.47654/v25y2021i4p89-114

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ISSN 2090-3359 (Print)
ISSN 2090-3367 (Online)

Asia University, Taiwan

Scientific and Business World

8.3
2024CiteScore
 
88th percentile
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SCImago Journal & Country Rank
Q2 in Scopus
CiteScore 2024 = 8.3
CiteScoreTracker 2025 = 7.9
SNIP 2024 = 0.632
SJR Quartile = Q1
SJR 2024 = 0.814
H-Index = 18

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