Economic policy uncertainty in the US: Does it matter for Canada?

Economics Bulletin, 2015, vol. 35, issue 4, 2725-2732

Abstract: This paper uses an indicator of economic policy uncertainty recently developed by Baker et al. (2013) to understand the impact of US economic policy uncertainty on Canada's economic activities. To accomplish this I apply a structural vector autoregression model with US and Canadian macroeconomic aggregates, and use short-term restrictions to identify the structural shocks. The analysis shows that a shock (an increase) to US economic policy uncertainty leads to a fall in Canadian output, price and Treasury bill rate. Moreover, the impact of US uncertainty shock on Canadian macroeconomic aggregates is larger than that of Canadian uncertainty shock.

Keywords: Economic Policy Uncertainty; SVAR (search for similar items in EconPapers)
JEL-codes: E0 E3 (search for similar items in EconPapers)
Date: 2015-12-13
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2015/Volume35/EB-15-V35-I4-P272.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-14-01026

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().