{"type":"script","doc_desc":{"producers":[{"name":"Reyes Retana","abbr":"MRR","affiliation":"World Bank","role":"Junior Data Scientist"}],"prod_date":"2023-11-15","version":"1"},"project_desc":{"authoring_entity":[{"name":"Haroon Mumtaz","affiliation":"Queen Mary University of London","email":"h.mumtaz@qmul.ac.uk"},{"name":"Franz Ulrich Ruch","affiliation":"World Bank","email":"fruch@worldbank.org"}],"output":[{"type":"Working Paper","title":"Policy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies","authors":"Haroon Mumtaz, Franz Ulrich Ruch","description":"Policy Research Working Paper (PRWP) 10564","uri":"http:\/\/documents.worldbank.org\/curated\/en\/099225009112325487\/IDU14ebfbcdf1e343147b91969714a2b11c8a77f","doi":"https:\/\/doi.org\/10.1596\/1813-9450-10564"}],"datasets":[{"name":"Haver Analytics","access_type":"Published with package","note":"Variables used from this source are Real public consumption expenditure, seasonally adjusted; Real GDP, seasonally adjusted; GDP deflator, seasonally adjusted; Real general\/central government revenue; Real private consumption expenditure, seasonally adjusted; Real gross fixed capital formation, seasonally adjusted; Equity prices; the real effective exchange rate, CPI-based, and the ex-ante real interest rate. ","uri":"https:\/\/www.haver.com\/our-data"},{"name":"Bruegel","note":"The variable used from this source is the real effective exchange rate, CPI-based.","access_type":"Published with package","uri":"https:\/\/www.bruegel.org\/publications\/datasets\/real-effective-exchange-rates-for-178-countries-a-new-database"},{"name":"OECD Data","note":"The variable used from this source is the ex-ante real interest rate","uri":"https:\/\/data.oecd.org\/interest\/long-term-interest-rates.htm","access_type":"Published with package"}],"software":[{"name":"Matlab","version":"Matlab R2023a"},{"name":"Dynare","version":"5.4"}],"scripts":[{"file_name":"RR_WLD_2023_16-v01.zip","zip_package":"RR_WLD_2023_16-v01.zip","title":"Reproducibility package (data and code) for  Policy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies","date":"2023-11","dependencies":"Dynare 5.4, Matlab Optimization Toolbox, Matlab Econometrics Toolbox, Matlab Statistics and Machine Learning Toolbox","instructions":"See README in the reproducibility package.","notes":"Computational reproducibility verified by Development Impact (DIME) Analytics team, World Bank.","description":"This reproducibility package generates select exhibits for the paper \"Policy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies\" by Haroon Mumtaz and Franz Ulrich Ruch. It should be noted that not all exhibits in the paper are reproduced by this code. For detailed information on which specific exhibits have been successfully reproduced, please refer to the README file and the accompanying reproducibility report included in this package. If needed, Replicators can contact the authors for assistance at fruch@worldbank.org or h.mumtaz@qmul.ac.uk "}],"title_statement":{"idno":"RR_WLD_2023_16-v01","title":"Reproducibility package for Policy Uncertainty and Aggregate Fluctuations: Evidence from Emerging and Developed Economies"},"reproducibility_status":{"type":"Open access & The package contains all code and data needed to reproduce all findings in the report"},"acknowledgment_statement":"This paper benefited from valuable comments and suggestions from Antonio Fatas, Jongrim Ha, Ayhan Kose, Francisco Arroyo Marioli, Franziska Ohnsorge, John Rogers, and Garima Vasistha. We would like to thank Marcin Holda, La-Bhus Fah Jirasavetakul, Chris Redl, and Antonio Spilimbergo for providing their measures of economic policy uncertainty. We would also like to thank Jiayue Fan for research assistance. The findings, interpretations and conclusions expressed in this paper are entirely those of the author(s) and should not be attributed to the World Bank, its Executive Directors, or the countries they represent.","production_date":"2023-10","geographic_units":[{"name":"World","code":"WLD","type":"Region"}],"abstract":"This paper identifies two types of policy uncertainty measures\u2013government spending and real interest rates\u2013and their impact on macroeconomic activity in 54 advanced, emerging, and developing economies. Policy uncertainty is defined as the inability to predict policy moves, that is, the conditional volatility of policy shocks. This is achieved in a panel vector autoregression model which allows, but does not require, the stochastic volatility of identified shocks to have direct and dynamic effects on macroeconomic outcomes. It shows that fiscal and monetary policy uncertainty are damaging to economic activity and act like negative supply shocks: raising prices while lowering output, investment and consumption. A one standard deviation government spending uncertainty shock decreases real gross domestic product (GDP) by a cumulative 1.0 percentage point and marginally increases inflation after two years. A one standard deviation real interest rate uncertainty shock lowers real GDP by a cumulative 1.3 percentage points after two years but raises inflation by 0.5 percentage point.","keywords":[{"name":"Policy uncertainty"},{"name":"Monetary Policy"},{"name":"Fiscal Policy"}],"topics":[{"vocabulary":"Journal of Economic Literature (JEL)","name":"Information, Knowledge, and Uncertainty: General","id":"D80","parent_id":"D8","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel"},{"vocabulary":"Journal of Economic Literature (JEL)","name":"Business Fluctuations \u2022 Cycles","id":"E32","parent_id":"E3","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel"},{"vocabulary":"Journal of Economic Literature (JEL)","name":"Interest Rates: Determination, Term Structure, and Effects","id":"E43","parent_id":"E4","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel"},{"vocabulary":"Journal of Economic Literature (JEL)","name":"Comparative or Joint Analysis of Fiscal and Monetary Policy \u2022 Stabilization \u2022 Treasury Policy","id":"E63","parent_id":"E6","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel"}],"language":[{"name":"English","code":"EN"}],"data_statement":"All data needed to reproduce the results in the paper is public and contained in the reproducibility package. Details on each variable and its source can be found in the README file of this reproducibility package, and the paper's Appendix. ","methods":[{"name":" Vector Autoregression (VAR) Model"}],"repository_uri":[{"name":"Reproducible Research Repository (World Bank)","uri":"https:\/\/reproducibility.worldbank.org"}],"technology_environment":"\u2022 OS: Windows 10 Enterprise, version 21H2\n\u2022 Processor: Intel(R) Xeon(R) Gold 6226R CPU @ 2.90GHz\n\u2022 Memory available: 32 GB\n\u2022 Software version: Matlab R2023a, Dynare 5.4","technology_requirements":"~ 140 hours runtime","reproduction_instructions":"To run the scripts, new users only need to make sure the dependencies are installed. ","disclaimer":"The materials in the reproducibility packages are distributed as they were prepared by the staff of the International Bank for Reconstruction and Development\/The World Bank. The findings, interpretations, and conclusions expressed in this event do not necessarily reflect the views of the World Bank, the Executive Directors of the World Bank, or the governments they represent. The World Bank does not guarantee the accuracy of the materials included in the reproducibility package.","license":[{"name":"Modified BSD3","uri":"https:\/\/opensource.org\/license\/bsd-3-clause\/"}],"contacts":[{"affiliation":"World Bank","email":"fruch@worldbank.org","name":"Franz Ulrich Ruch"},{"name":"Reproducibility WBG","affiliation":"World Bank","email":"reproducibility@worldbank.org"}]},"tags":[{"tag":"DOI"}],"schematype":"script"}