dc.contributor.author |
Nyamela, Yanele
|
|
dc.contributor.author |
Plakandaras, Vasilios
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2020-03-27T15:13:03Z |
|
dc.date.issued |
2020 |
|
dc.description.abstract |
In this paper, we analyse the impact of uncertainty shocks at the daily-frequency on key macroeconomic variables for the United States. In doing so, we use a vector autoregressive (VAR) model, including the inflation rate, a real-time measure of economic activity and a measure of monetary policy as endogenous variables and decompose uncertainty effects into short, medium and long-term based on a discrete-time Fourier transformation. Aggregate results (prior to decomposition) show that an increase in economic uncertainty has a significant expansionary impact on monetary policy. However, when we decompose uncertainty into its short-, medium- and long-run components, we find that economic activity is affected negatively in a statistically significant manner to shocks in low-frequency uncertainty, while, statistically significant monetary expansion is observed under shocks to relatively high frequencies of uncertainty. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2021-05-27 |
|
dc.description.librarian |
hj2020 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/rael20 |
en_ZA |
dc.identifier.citation |
Nyamela, Y., Plakandaras, V. & Gupta, R. 2020, 'Frequency-dependent real-time effects of uncertainty in the United States: evidence from daily data', Applied Economics Letters, vol. 27, no. 19, pp. 1562-1566, doi : 10.1080/13504851.2019.1697419. |
en_ZA |
dc.identifier.issn |
1350-4851 (print) |
|
dc.identifier.issn |
1466-4291 (online) |
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dc.identifier.other |
10.1080/13504851.2019.1697419 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/73849 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Routledge |
en_ZA |
dc.rights |
© 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 27, no. 19, pp. 1562-1566, 2020. doi : 10.1080/13504851.2019.1697419. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20. |
en_ZA |
dc.subject |
Uncertainty |
en_ZA |
dc.subject |
Frequency-dependence |
en_ZA |
dc.subject |
Daily data |
en_ZA |
dc.title |
Frequency-dependent real-time effects of uncertainty in the United States : evidence from daily data |
en_ZA |
dc.type |
Postprint Article |
en_ZA |