We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure … of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a … of being in a high-uncertainty regime. Second, we estimate a monetary policy reaction function that, apart from …

The argument that policy risk, i.e., uncertainty about monetary and fiscal policy, has been holding back the economic … business cycle fluctuations by using an estimated New Keynesian model featuring policy risk as well as uncertainty about … technology. We directly measure uncertainty from aggregate time series and find considerable evidence of time-varying policy risk …

We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy … uncertainty and contributes to the reduced policy effectiveness. …

This paper quantifies the economic impact of uncertainty shocks in the UK using data that span the recent Great … Recession. We find that uncertainty shocks have a significant impact on economic activity in the UK, depressing industrial … negligible after 18 months. Interestingly, the impact of uncertainty shocks on industrial production in the UK is strikingly …