IMF-财政政策不确定性的经济影响：来自新跨国数据库的证据（英）

IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2024 SEP The Economic Impact of Fiscal Policy Uncertainty: Evidence from a New Cross-Country Database Gee Hee Hong, Shikun (Barry) Ke, Anh D. M. Nguyen WP/24/209 © 2024 International Monetary Fund WP/24/209IMF Working Paper Fiscal Affairs Department The Economic Impact of Fiscal Policy Uncertainty: Evidence from a New Cross-Country Database Prepared by Gee Hee Hong, Shikun (Barry) Ke, Anh. D. M. Nguyen Authorized for distribution by Davide Furceri September 2024IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT: Fiscal policy uncertainty (FPU)—ambiguity in government spending and tax plans, as well as in public debt valuation—is widely regarded as a source of economic and financial disruptions. However, assessing its impact has so far been limited to a few large economies. In this paper, we construct a novel database of news-based fiscal policy uncertainty for 189 countries. Importantly, we track fiscal uncertainty events that generate global attention that we refer to as the “global fiscal policy uncertainty." This uncertainty has contractionary effects, reducing industrial production in both advanced and emerging market economies, with impacts greater than country-specific fiscal policy uncertainty. Additionally, global fiscal policy uncertainty raises sovereign borrowing costs and generates synchronous movements in the global financial variables, even after accounting for US monetary policy shocks. JEL Classification Numbers: E61, E62, E65 Keywords: Fiscal policy uncertainty; news-based uncertainty; propagation of global shocks; VAR Author’s E-Mail Address: ghong@imf.org; barry.ke@yale.edu; anguyen3@imf.org IMF WORKING PAPERS Title of WPINTERNATIONAL MONETARY FUND 3WORKING PAPERS The Economic Impact of Fiscal Policy Uncertainty: Evidence from a New Cross-Country Database Prepared by Gee Hee Hong, Shikun (Barry) Ke, Anh D. M. Nguyen1 1The author(s) would like to thank Nick Bloom, Steve Davis, Francesco Zanetti, Jesús Fernández-Villaverde, Davide Furceri, Tobias Adrian, Nancy Xu, Giovanni Dell'arricia, Antonio Spilimbero, Vitor Gaspar, Era Dabla-Norris, Helge Berger, Katherine Baer, Abdelhak Senhadji, Rodrigo Cerda, Rachel van Elkan, Raphael Lam, Marcos Poplawski Ribeiro, Hamid Davoodi, Sandile Hlatshwayo, seminar participants at the IMF's Fiscal Affairs and European Departmental Seminars and the 2024 SITE conference at Stanford. All remaining errors are our own. 1Introduction“. . . waiting until the last minut