SOVEREIGN UNCERTAINTY

• 成果类型: Article
• 署名作者: Silgado-Gomez, Edgar
• 署名单位: Banco de Espana; Banco de Espana
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12718
• 发表日期: 2024
• 页码: 1985-2018
• 关键词: economic-policy uncertainty; monetary-policy; nominal rigidities; shocks; RISK; identification; fluctuations; volatility; IMPACT; restrictions

摘要

This article investigates the impact and transmission of uncertainty regarding the future path of government finances on economic activity. Employing a data-rich approach, I introduce a novel proxy that captures uncertainty surrounding public finances, which I refer to as sovereign uncertainty. In an application to Spain, sovereign uncertainty shocks persistently dampen the economy in the medium run, whereas macro-financial uncertainty shocks originating in the private sector induce a negative short-lived response in real activity. In addition, a New Keynesian model rationalizes the empirical results, emphasizing the role of financial frictions and monetary policy decisions in transmitting the effects of sovereign uncertainty shocks.