Nyamela, YanelePlakandaras, VasiliosGupta, Rangan2020-03-272020Nyamela, 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 : 10.1080/13504851.2019.1697419.1350-4851 (print)1466-4291 (online)10.1080/13504851.2019.1697419http://hdl.handle.net/2263/73849In 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© 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.UncertaintyFrequency-dependenceDaily dataPostprint Article