Measuring Economic and Economic Policy Uncertainty, and their Macroeconomic Effects: The Case of Spain

31 Pages Posted: 5 Mar 2019

See all articles by Corinna Ghirelli

Corinna Ghirelli

Bank of Spain

Maria Gil

Banco de España

Javier J. Pérez

Banco de España - Research Department

Alberto Urtasun

Banco de España

Date Written: March 5, 2019

Abstract

We provide additional evidence on the relationship between uncertainty and economic activity. For this purpose, we gather and construct a wide range of proxy indicators of economic and economic policy uncertainty from Spain. We distinguish between the relative merits of different types of measures based on: (i) the volatility of financial markets; (ii) economic analysts’ disagreement; (iii) economic policy uncertainty. We show that the first and the third block of measures are the most relevant to grasp the negative effects of unexpected changes in uncertainty on aggregate economic developments, as measured by real GDP. In addition, we find that economic policy uncertainty and financial uncertainty shocks produce visible negative effects on private consumption. The negative responses on capital goods investments are initially bigger in magnitude but vanish more quickly.

Keywords: economic uncertainty, economic policy uncertainty, impact of uncertainty shocks

JEL Classification: D8, C43, E2, E3

Suggested Citation

Ghirelli, Corinna and Gil, Maria and Perez, Javier J. and Urtasun, Alberto, Measuring Economic and Economic Policy Uncertainty, and their Macroeconomic Effects: The Case of Spain (March 5, 2019). Banco de Espana Working Paper No. 1905 (2019), Available at SSRN: https://ssrn.com/abstract=3346991 or http://dx.doi.org/10.2139/ssrn.3346991

Corinna Ghirelli (Contact Author)

Bank of Spain ( email )

Calle Alcala, 48
Madrid, 28014
Spain

Maria Gil

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Javier J. Perez

Banco de España - Research Department ( email )

Alcala 50
28014 Madrid
Spain

HOME PAGE: http://www.bde.es/investigador/staff/95.htm

Alberto Urtasun

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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