Quantifying the Impact of Foreign Economic Uncertainty on the U.S. Economy Accessible Data

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Quantifying the Impact of Foreign Economic Uncertainty on the U.S. Economy Accessible Data

Figure 1: Real Economic Uncertainty (REU)

Date	US (Red)	Foreign (Green)
5/1/1973	0.01	2.18
6/1/1973	0.07	2.26
7/1/1973	0.29	2.22
8/1/1973	0.58	2.35
9/1/1973	0.81	2.41
10/1/1973	1.16	2.80
11/1/1973	1.13	3.09
12/1/1973	1.31	3.74
1/1/1974	1.46	3.70
2/1/1974	1.21	3.25
3/1/1974	1.19	2.95
4/1/1974	1.45	3.00
5/1/1974	1.28	3.06
6/1/1974	1.14	2.62
7/1/1974	1.34	2.38
8/1/1974	1.83	2.04
9/1/1974	2.23	1.87
10/1/1974	2.77	1.81
11/1/1974	3.97	1.81
12/1/1974	4.41	1.92
1/1/1975	3.52	1.75
2/1/1975	3.06	1.52
3/1/1975	2.67	1.43
4/1/1975	2.52	1.47
5/1/1975	2.30	1.48
6/1/1975	2.16	1.13
7/1/1975	2.15	1.08
8/1/1975	1.63	0.80
9/1/1975	1.15	0.61
10/1/1975	0.73	0.53
11/1/1975	0.50	0.38
12/1/1975	0.71	0.45
1/1/1976	0.89	0.34
2/1/1976	0.65	0.20
3/1/1976	0.42	-0.01
4/1/1976	0.40	-0.08
5/1/1976	0.39	-0.16
6/1/1976	0.28	-0.22
7/1/1976	0.13	-0.29
8/1/1976	0.18	-0.56
9/1/1976	0.34	-0.77
10/1/1976	0.46	-0.79
11/1/1976	0.74	-0.82
12/1/1976	0.64	-0.77
1/1/1977	0.80	-0.97
2/1/1977	0.69	-1.00
3/1/1977	0.46	-0.89
4/1/1977	-0.10	-0.63
5/1/1977	-0.33	-0.79
6/1/1977	-0.41	-0.85
7/1/1977	-0.44	-0.92
8/1/1977	-0.50	-0.90
9/1/1977	-0.34	-0.91
10/1/1977	-0.22	-1.05
11/1/1977	0.04	-0.92
12/1/1977	0.57	-0.62
1/1/1978	1.40	-0.48
2/1/1978	1.26	-0.26
3/1/1978	1.45	-0.09
4/1/1978	1.16	-0.38
5/1/1978	0.55	-0.45
6/1/1978	0.23	-0.49
7/1/1978	0.14	-0.54
8/1/1978	-0.14	-0.61
9/1/1978	-0.15	-0.57
10/1/1978	-0.15	-0.57
11/1/1978	-0.01	-0.55
12/1/1978	0.13	-0.41
1/1/1979	0.52	-0.24
2/1/1979	0.75	-0.26
3/1/1979	1.29	-0.15
4/1/1979	2.29	0.02
5/1/1979	1.91	-0.05
6/1/1979	1.36	0.00
7/1/1979	1.29	0.11
8/1/1979	1.43	0.58
9/1/1979	1.37	0.19
10/1/1979	1.22	-0.01
11/1/1979	1.22	-0.11
12/1/1979	1.29	-0.10
1/1/1980	1.78	-0.08
2/1/1980	2.32	-0.03
3/1/1980	3.24	-0.07
4/1/1980	4.20	0.17
5/1/1980	3.66	0.00
6/1/1980	3.00	0.00
7/1/1980	2.90	0.11
8/1/1980	2.82	0.34
9/1/1980	2.41	0.33
10/1/1980	2.06	0.15
11/1/1980	1.68	0.26
12/1/1980	1.54	0.19
1/1/1981	1.38	0.15
2/1/1981	1.08	0.12
3/1/1981	0.80	0.14
4/1/1981	0.83	0.22
5/1/1981	0.81	0.11
6/1/1981	0.91	-0.08
7/1/1981	0.93	-0.09
8/1/1981	0.93	-0.25
9/1/1981	1.22	-0.40
10/1/1981	1.30	-0.48
11/1/1981	1.32	-0.44
12/1/1981	1.63	-0.31
1/1/1982	2.38	-0.37
2/1/1982	2.56	-0.44
3/1/1982	1.62	-0.33
4/1/1982	1.15	-0.30
5/1/1982	0.99	-0.29
6/1/1982	0.83	-0.23
7/1/1982	0.74	-0.13
8/1/1982	0.53	-0.16
9/1/1982	0.43	-0.09
10/1/1982	0.48	-0.08
11/1/1982	0.56	-0.05
12/1/1982	0.98	0.11
1/1/1983	1.63	0.17
2/1/1983	1.29	0.21
3/1/1983	0.97	0.29
4/1/1983	0.83	0.13
5/1/1983	0.63	0.05
6/1/1983	0.68	0.11
7/1/1983	0.80	0.09
8/1/1983	0.83	-0.25
9/1/1983	1.03	-0.56
10/1/1983	0.61	-0.62
11/1/1983	0.18	-0.74
12/1/1983	0.17	-0.65
1/1/1984	0.25	-0.51
2/1/1984	-0.06	-0.49
3/1/1984	-0.50	-0.56
4/1/1984	-0.75	-0.45
5/1/1984	-0.84	-0.22
6/1/1984	-0.88	0.28
7/1/1984	-0.92	0.23
8/1/1984	-0.89	0.20
9/1/1984	-0.79	-0.01
10/1/1984	-0.69	-0.26
11/1/1984	-0.73	-0.41
12/1/1984	-0.72	-0.41
1/1/1985	-0.75	-0.25
2/1/1985	-0.83	-0.22
3/1/1985	-0.75	-0.35
4/1/1985	-0.66	-0.39
5/1/1985	-0.95	-0.68
6/1/1985	-1.02	-0.61
7/1/1985	-0.91	-0.61
8/1/1985	-0.95	-0.68
9/1/1985	-0.88	-0.83
10/1/1985	-0.82	-0.82
11/1/1985	-0.73	-0.57
12/1/1985	-0.52	-0.46
1/1/1986	-0.31	-0.07
2/1/1986	-0.07	-0.35
3/1/1986	-0.10	-0.16
4/1/1986	-0.28	0.02
5/1/1986	-0.30	-0.22
6/1/1986	-0.23	-0.53
7/1/1986	-0.33	-0.70
8/1/1986	-0.44	-0.80
9/1/1986	-0.34	-0.91
10/1/1986	-0.38	-0.97
11/1/1986	-0.37	-0.72
12/1/1986	-0.09	-0.78
1/1/1987	0.10	-0.60
2/1/1987	-0.04	-0.71
3/1/1987	-0.36	-0.57
4/1/1987	-0.43	-0.56
5/1/1987	-0.68	-0.67
6/1/1987	-0.86	-0.75
7/1/1987	-0.82	-0.86
8/1/1987	-0.71	-1.01
9/1/1987	-0.54	-1.21
10/1/1987	-0.24	-1.24
11/1/1987	-0.49	-1.23
12/1/1987	-0.41	-1.13
1/1/1988	-0.39	-0.98
2/1/1988	-0.61	-0.92
3/1/1988	-0.86	-0.95
4/1/1988	-0.96	-1.11
5/1/1988	-1.01	-1.33
6/1/1988	-1.06	-1.36
7/1/1988	-0.98	-1.42
8/1/1988	-0.97	-1.45
9/1/1988	-0.93	-1.45
10/1/1988	-0.93	-1.46
11/1/1988	-0.97	-1.36
12/1/1988	-0.82	-1.16
1/1/1989	-0.62	-1.05
2/1/1989	-0.36	-0.88
3/1/1989	-0.34	-0.55
4/1/1989	-0.31	-0.42
5/1/1989	-0.11	-0.59
6/1/1989	-0.24	-0.49
7/1/1989	-0.07	-0.93
8/1/1989	0.02	-1.15
9/1/1989	-0.22	-1.24
10/1/1989	-0.22	-1.10
11/1/1989	-0.06	-0.99
12/1/1989	0.45	-0.70
1/1/1990	1.04	-0.30
2/1/1990	0.70	-0.45
3/1/1990	0.41	-0.45
4/1/1990	0.32	-0.16
5/1/1990	0.12	-0.19
6/1/1990	-0.09	-0.18
7/1/1990	-0.06	-0.11
8/1/1990	0.12	0.06
9/1/1990	0.01	0.14
10/1/1990	0.25	0.07
11/1/1990	0.36	0.11
12/1/1990	0.22	0.39
1/1/1991	0.25	0.83
2/1/1991	0.04	0.54
3/1/1991	-0.12	0.44
4/1/1991	-0.08	0.21
5/1/1991	-0.10	0.01
6/1/1991	-0.13	-0.05
7/1/1991	-0.39	-0.16
8/1/1991	-0.62	-0.34
9/1/1991	-0.63	-0.43
10/1/1991	-0.77	-0.53
11/1/1991	-0.86	-0.34
12/1/1991	-0.73	-0.35
1/1/1992	-0.61	-0.07
2/1/1992	-0.56	-0.16
3/1/1992	-0.75	-0.26
4/1/1992	-0.89	-0.21
5/1/1992	-0.95	-0.29
6/1/1992	-0.92	-0.26
7/1/1992	-0.76	-0.12
8/1/1992	-0.69	0.26
9/1/1992	-0.57	0.07
10/1/1992	-0.47	0.00
11/1/1992	-0.63	-0.07
12/1/1992	-0.34	0.09
1/1/1993	-0.32	0.24
2/1/1993	-0.65	0.22
3/1/1993	-0.72	-0.12
4/1/1993	-0.96	-0.27
5/1/1993	-1.17	-0.39
6/1/1993	-1.33	-0.50
7/1/1993	-1.44	-0.62
8/1/1993	-1.41	-0.70
9/1/1993	-1.23	-0.68
10/1/1993	-1.16	-0.92
11/1/1993	-1.16	-0.89
12/1/1993	-0.64	-0.88
1/1/1994	-0.55	-0.72
2/1/1994	-0.68	-0.84
3/1/1994	-0.81	-0.88
4/1/1994	-1.23	-0.86
5/1/1994	-1.46	-0.90
6/1/1994	-1.59	-0.71
7/1/1994	-1.66	-0.59
8/1/1994	-1.62	-0.82
9/1/1994	-1.60	-0.86
10/1/1994	-1.42	-0.87
11/1/1994	-1.45	-0.92
12/1/1994	-1.37	-0.81
1/1/1995	-1.24	-0.66
2/1/1995	-1.02	-0.76
3/1/1995	-0.92	-0.79
4/1/1995	-0.80	-0.67
5/1/1995	-0.81	-0.88
6/1/1995	-0.87	-0.92
7/1/1995	-0.77	-0.81
8/1/1995	-0.73	-0.71
9/1/1995	-0.91	-0.61
10/1/1995	-0.93	-0.68
11/1/1995	-0.85	-0.73
12/1/1995	-0.46	-0.65
1/1/1996	0.14	-0.48
2/1/1996	0.39	-0.67
3/1/1996	-0.03	-0.78
4/1/1996	-0.39	-0.87
5/1/1996	-0.77	-1.09
6/1/1996	-0.96	-1.20
7/1/1996	-1.08	-1.26
8/1/1996	-1.17	-1.38
9/1/1996	-1.24	-1.30
10/1/1996	-1.19	-1.24
11/1/1996	-1.24	-1.16
12/1/1996	-1.26	-0.92
1/1/1997	-1.21	-0.44
2/1/1997	-1.18	-0.27
3/1/1997	-1.30	-0.16
4/1/1997	-1.28	-0.12
5/1/1997	-1.37	-0.47
6/1/1997	-1.33	-0.71
7/1/1997	-1.19	-0.88
8/1/1997	-0.88	-0.96
9/1/1997	-0.92	-1.03
10/1/1997	-0.84	-1.01
11/1/1997	-0.78	-0.88
12/1/1997	-0.77	-0.81
1/1/1998	-0.76	-0.70
2/1/1998	-0.81	-0.69
3/1/1998	-0.74	-0.69
4/1/1998	-0.59	-0.81
5/1/1998	-0.48	-0.96
6/1/1998	-0.10	-0.98
7/1/1998	0.10	-0.94
8/1/1998	0.43	-0.79
9/1/1998	-0.10	-0.72
10/1/1998	-0.40	-0.68
11/1/1998	-0.65	-0.65
12/1/1998	-0.71	-0.52
1/1/1999	-0.71	-0.46
2/1/1999	-0.82	-0.55
3/1/1999	-0.99	-0.62
4/1/1999	-1.07	-0.68
5/1/1999	-1.16	-0.80
6/1/1999	-1.12	-0.82
7/1/1999	-1.09	-0.93
8/1/1999	-1.03	-0.93
9/1/1999	-0.89	-0.97
10/1/1999	-0.71	-0.88
11/1/1999	-0.73	-0.81
12/1/1999	-0.56	-0.56
1/1/2000	-0.26	-0.39
2/1/2000	-0.34	-0.59
3/1/2000	-0.28	-0.68
4/1/2000	-0.12	-0.72
5/1/2000	0.18	-0.76
6/1/2000	0.17	-0.69
7/1/2000	0.03	-0.79
8/1/2000	-0.02	-0.75
9/1/2000	0.00	-0.77
10/1/2000	-0.02	-0.71
11/1/2000	0.00	-0.66
12/1/2000	0.20	-0.28
1/1/2001	0.24	0.07
2/1/2001	0.15	-0.06
3/1/2001	0.04	-0.09
4/1/2001	0.15	-0.19
5/1/2001	0.04	-0.18
6/1/2001	0.01	-0.22
7/1/2001	0.03	-0.18
8/1/2001	0.17	-0.14
9/1/2001	0.27	0.02
10/1/2001	0.44	0.11
11/1/2001	0.18	0.24
12/1/2001	-0.09	0.34
1/1/2002	-0.18	0.40
2/1/2002	-0.39	0.40
3/1/2002	-0.50	0.39
4/1/2002	-0.61	0.36
5/1/2002	-0.74	0.29
6/1/2002	-0.68	0.14
7/1/2002	-0.64	-0.03
8/1/2002	-0.66	-0.15
9/1/2002	-0.65	-0.27
10/1/2002	-0.69	-0.22
11/1/2002	-0.60	-0.07
12/1/2002	-0.42	0.15
1/1/2003	-0.27	0.23
2/1/2003	-0.24	0.19
3/1/2003	-0.44	0.22
4/1/2003	-0.53	0.30
5/1/2003	-0.74	0.22
6/1/2003	-0.91	0.25
7/1/2003	-0.90	0.30
8/1/2003	-0.91	0.36
9/1/2003	-0.93	0.32
10/1/2003	-0.91	0.28
11/1/2003	-0.87	0.36
12/1/2003	-0.97	0.46
1/1/2004	-0.97	0.49
2/1/2004	-0.99	0.35
3/1/2004	-0.82	0.33
4/1/2004	-0.84	0.28
5/1/2004	-0.72	0.14
6/1/2004	-0.49	0.04
7/1/2004	-0.59	0.04
8/1/2004	-0.73	0.00
9/1/2004	-0.68	-0.16
10/1/2004	-0.49	-0.19
11/1/2004	-0.26	-0.12
12/1/2004	0.08	0.01
1/1/2005	0.15	0.13
2/1/2005	-0.19	-0.01
3/1/2005	-0.22	-0.01
4/1/2005	-0.31	0.09
5/1/2005	-0.39	0.11
6/1/2005	-0.28	0.02
7/1/2005	0.01	0.04
8/1/2005	0.25	0.01
9/1/2005	0.90	-0.13
10/1/2005	0.77	-0.17
11/1/2005	0.52	-0.16
12/1/2005	0.19	-0.17
1/1/2006	0.10	-0.18
2/1/2006	-0.09	-0.18
3/1/2006	-0.29	-0.21
4/1/2006	-0.23	-0.10
5/1/2006	-0.12	-0.03
6/1/2006	-0.23	-0.14
7/1/2006	-0.22	-0.21
8/1/2006	-0.22	-0.25
9/1/2006	-0.06	-0.24
10/1/2006	-0.15	-0.14
11/1/2006	-0.31	-0.06
12/1/2006	-0.16	0.20
1/1/2007	-0.08	0.38
2/1/2007	-0.24	0.32
3/1/2007	-0.37	0.22
4/1/2007	-0.55	0.23
5/1/2007	-0.79	0.21
6/1/2007	-0.84	0.35
7/1/2007	-0.77	0.53
8/1/2007	-0.69	0.66
9/1/2007	-0.66	0.71
10/1/2007	-0.57	0.77
11/1/2007	-0.48	0.93
12/1/2007	-0.41	1.00
1/1/2008	-0.37	1.23
2/1/2008	-0.18	1.36
3/1/2008	0.03	1.66
4/1/2008	0.50	1.92
5/1/2008	0.87	2.08
6/1/2008	1.17	2.24
7/1/2008	1.62	2.46
8/1/2008	2.17	2.80
9/1/2008	2.99	3.05
10/1/2008	3.06	3.49
11/1/2008	3.10	4.13
12/1/2008	2.97	4.40
1/1/2009	2.88	4.72
2/1/2009	2.49	4.40
3/1/2009	2.01	3.80
4/1/2009	1.71	3.28
5/1/2009	1.54	2.82
6/1/2009	1.33	2.51
7/1/2009	1.45	2.09
8/1/2009	1.09	1.88
9/1/2009	0.87	1.74
10/1/2009	0.76	1.46
11/1/2009	0.69	1.22
12/1/2009	0.71	1.19
1/1/2010	0.90	1.11
2/1/2010	0.75	1.01
3/1/2010	0.82	0.96
4/1/2010	0.84	1.08
5/1/2010	0.87	1.08
6/1/2010	0.38	1.02
7/1/2010	0.11	0.97
8/1/2010	-0.10	0.91
9/1/2010	-0.21	0.98
10/1/2010	-0.30	1.15
11/1/2010	-0.24	1.14
12/1/2010	0.03	1.39
1/1/2011	0.17	1.52
2/1/2011	0.18	1.77
3/1/2011	0.21	2.48
4/1/2011	0.18	2.15
5/1/2011	-0.08	2.15
6/1/2011	-0.28	1.98
7/1/2011	-0.37	1.68
8/1/2011	-0.47	1.55
9/1/2011	-0.48	1.47
10/1/2011	-0.36	1.17
11/1/2011	-0.37	1.04
12/1/2011	-0.33	0.99
1/1/2012	-0.41	1.00
2/1/2012	-0.61	0.92
3/1/2012	-0.62	0.72
4/1/2012	-0.78	0.58
5/1/2012	-0.83	0.49
6/1/2012	-0.81	0.32
7/1/2012	-0.65	0.24
8/1/2012	-0.55	0.18
9/1/2012	-0.53	0.09
10/1/2012	-0.42	0.14
11/1/2012	-0.19	0.13
12/1/2012	0.04	0.17
1/1/2013	-0.27	0.21
2/1/2013	-0.46	0.05
3/1/2013	-0.64	0.09
4/1/2013	-0.78	0.07
5/1/2013	-0.79	-0.04
6/1/2013	-0.69	-0.10
7/1/2013	-0.39	-0.27
8/1/2013	-0.47	-0.48
9/1/2013	-0.63	-0.52
10/1/2013	-0.48	-0.49
11/1/2013	-0.38	-0.50
12/1/2013	-0.15	-0.50
1/1/2014	0.22	-0.42
2/1/2014	0.15	-0.35
3/1/2014	-0.11	-0.09
4/1/2014	-0.33	0.09
5/1/2014	-0.56	-0.13
6/1/2014	-0.60	-0.41
7/1/2014	-0.43	-0.52
8/1/2014	-0.44	-0.59
9/1/2014	-0.56	-0.64
10/1/2014	-0.52	-0.58
11/1/2014	-0.44	-0.58
12/1/2014	-0.38	-0.47
1/1/2015	-0.20	-0.32
2/1/2015	-0.21	-0.32
3/1/2015	-0.19	-0.56
4/1/2015	-0.16	-0.63
5/1/2015	-0.19	-0.62
6/1/2015	-0.22	-0.62
7/1/2015	-0.25	-0.57
8/1/2015	-0.30	-0.48
9/1/2015	-0.19	-0.41
10/1/2015	-0.26	-0.36
11/1/2015	-0.19	-0.30
12/1/2015	-0.25	-0.24
1/1/2016	-0.18	-0.21
2/1/2016	-0.19	-0.32
3/1/2016	-0.32	-0.44
4/1/2016	-0.43	-0.47
5/1/2016	-0.50	-0.59
6/1/2016	-0.69	-0.68
7/1/2016	-0.85	-0.68
8/1/2016	-0.94	-0.67
9/1/2016	-1.01	-0.65
10/1/2016	-0.96	-0.59
11/1/2016	-0.85	-0.58
12/1/2016	-0.80	-0.47
1/1/2017	-0.73	-0.43
2/1/2017	-0.48	-0.45
3/1/2017	-0.40	-0.44
4/1/2017	-0.31	-0.30
5/1/2017	-0.36	-0.37
6/1/2017	-0.36	-0.45
7/1/2017	-0.37	-0.54
8/1/2017	-0.36	-0.48
9/1/2017	-0.12	-0.41
10/1/2017	-0.02	-0.33
11/1/2017	-0.27	-0.22
12/1/2017	-0.29	-0.08
1/1/2018	-0.17	0.21
2/1/2018	-0.03	0.12
3/1/2018	-0.11	0.01
4/1/2018	0.06	-0.09
5/1/2018	0.17	-0.22
6/1/2018	-0.21	-0.37
7/1/2018	-0.50	-0.52
8/1/2018	-0.56	-0.49
9/1/2018	-0.58	-0.49
10/1/2018	-0.52	-0.48
11/1/2018	-0.33	-0.49
12/1/2018	-0.02	-0.56

Note: REU is calculated as the average volatility of one-month-ahead forecast errors of a set of real economic variables following the methodology in Jurado, Ludvigson, and Ng (2015) and Ludvigson, Ng, and Ma (2019). Foreign uncertainty is the GDP-weighted average of the country-specific measures for Canada, France, Germany, Italy, Japan, Switzerland, and the U.K. Shaded areas represent NBER recessions.

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Figure 2: Impulse Responses

Panel A: U.S. REU Shocks on U.S. IP

Horizon (Month)	Lower 68% Line	Estimate	Upper 68% Line
1	-0.17	-0.13	-0.10
2	-0.19	-0.16	-0.12
3	-0.23	-0.19	-0.14
4	-0.29	-0.25	-0.18
5	-0.36	-0.31	-0.23
6	-0.41	-0.33	-0.24
7	-0.41	-0.34	-0.25
8	-0.38	-0.30	-0.20
9	-0.37	-0.27	-0.17
10	-0.34	-0.25	-0.13
11	-0.31	-0.20	-0.09
12	-0.29	-0.20	-0.06
13	-0.29	-0.17	-0.05
14	-0.27	-0.16	-0.04
15	-0.23	-0.13	-0.01
16	-0.21	-0.12	0.00
17	-0.19	-0.09	0.02
18	-0.18	-0.07	0.03
19	-0.15	-0.05	0.05
20	-0.15	-0.03	0.06

Panel B: Foreign REU Shocks on U.S.

Horizon (Month)	Lower 68% Line	Estimate	Upper 68% Line
1	0.02	0.03	0.04
2	0.04	0.06	0.07
3	0.03	0.05	0.07
4	0.03	0.05	0.07
5	0.02	0.04	0.06
6	0.00	0.02	0.05
7	0.00	0.02	0.04
8	0.01	0.03	0.05
9	0.02	0.04	0.06
10	0.02	0.04	0.06
11	0.02	0.04	0.06
12	0.02	0.04	0.06
13	0.02	0.05	0.06
14	0.02	0.05	0.06
15	0.01	0.03	0.05
16	0.00	0.02	0.04
17	0.00	0.02	0.04
18	0.00	0.02	0.04
19	-0.01	0.01	0.03
20	-0.02	0.00	0.02

Panel C: Foreign REU Shocks on Foreign IP

Horizon (Month)	Lower 68% Line	Estimate	Upper 68% Line
1	-0.09	-0.05	-0.01
2	-0.17	-0.12	-0.06
3	-0.20	-0.15	-0.09
4	-0.25	-0.18	-0.12
5	-0.29	-0.20	-0.13
6	-0.28	-0.19	-0.11
7	-0.30	-0.20	-0.11
8	-0.34	-0.24	-0.14
9	-0.34	-0.23	-0.15
10	-0.29	-0.19	-0.10
11	-0.31	-0.20	-0.09
12	-0.35	-0.22	-0.12
13	-0.34	-0.20	-0.10
14	-0.33	-0.21	-0.09
15	-0.34	-0.23	-0.12
16	-0.34	-0.25	-0.12
17	-0.33	-0.23	-0.12
18	-0.32	-0.22	-0.11
19	-0.31	-0.21	-0.11
20	-0.30	-0.20	-0.11

Panel D: Foreign REU Shocks on U.S. IP

Horizon (Month)	Lower 68% Line	Estimate	Upper 68% Line
1	-0.03	0.00	0.03
2	-0.07	-0.04	0.00
3	-0.08	-0.03	0.03
4	-0.11	-0.04	0.01
5	-0.15	-0.08	-0.03
6	-0.17	-0.11	-0.04
7	-0.22	-0.15	-0.04
8	-0.24	-0.15	-0.05
9	-0.22	-0.13	-0.03
10	-0.24	-0.15	-0.02
11	-0.26	-0.15	-0.03
12	-0.24	-0.13	-0.01
13	-0.26	-0.16	-0.04
14	-0.27	-0.17	-0.06
15	-0.29	-0.18	-0.09
16	-0.33	-0.22	-0.11
17	-0.34	-0.23	-0.12
18	-0.33	-0.24	-0.11
19	-0.32	-0.23	-0.10
20	-0.33	-0.21	-0.08

Note: Impulse-response functions for a VAR(12). Order of variables in VAR: (VIX, Foreign REU, U.S. REU, Log
S&P 500 prices, Fed Fund Rates, Log U.S. Employment, log U.S. CPI, log Foreign IP, log U.S. IP). Bootstrapped 68% Confidence Bands are included.

Return to text

Figure 3: Alternative Measures of Uncertainty

Date	VIX	US EPU	Global EPU
5/1/1973	25.68
6/1/1973	22.88
7/1/1973	21.51
8/1/1973	17.20
9/1/1973	17.32
10/1/1973	19.05
11/1/1973	28.75
12/1/1973	34.15
1/1/1974	27.44
2/1/1974	22.47
3/1/1974	20.97
4/1/1974	20.77
5/1/1974	22.23
6/1/1974	23.77
7/1/1974	29.77
8/1/1974	29.17
9/1/1974	36.76
10/1/1974	38.37
11/1/1974	27.25
12/1/1974	28.23
1/1/1975	26.80
2/1/1975	22.99
3/1/1975	24.06
4/1/1975	22.65
5/1/1975	21.05
6/1/1975	18.96
7/1/1975	17.48
8/1/1975	23.58
9/1/1975	23.16
10/1/1975	21.48
11/1/1975	16.90
12/1/1975	19.04
1/1/1976	19.54
2/1/1976	19.22
3/1/1976	18.25
4/1/1976	17.64
5/1/1976	17.44
6/1/1976	16.67
7/1/1976	14.06
8/1/1976	15.91
9/1/1976	16.51
10/1/1976	19.01
11/1/1976	18.45
12/1/1976	14.03
1/1/1977	14.68
2/1/1977	13.11
3/1/1977	15.30
4/1/1977	18.01
5/1/1977	15.15
6/1/1977	14.06
7/1/1977	15.36
8/1/1977	14.49
9/1/1977	14.09
10/1/1977	15.45
11/1/1977	19.64
12/1/1977	15.41
1/1/1978	16.00
2/1/1978	15.60
3/1/1978	14.94
4/1/1978	20.24
5/1/1978	17.59
6/1/1978	17.41
7/1/1978	16.23
8/1/1978	17.27
9/1/1978	17.78
10/1/1978	21.02
11/1/1978	26.52
12/1/1978	21.51
1/1/1979	17.12
2/1/1979	16.54
3/1/1979	15.69
4/1/1979	15.64
5/1/1979	16.71
6/1/1979	14.42
7/1/1979	15.91
8/1/1979	13.50
9/1/1979	19.66
10/1/1979	22.98
11/1/1979	20.21
12/1/1979	14.53
1/1/1980	21.09
2/1/1980	22.29
3/1/1980	29.25
4/1/1980	24.93
5/1/1980	20.00
6/1/1980	19.58
7/1/1980	18.43
8/1/1980	21.26
9/1/1980	24.69
10/1/1980	22.47
11/1/1980	23.16
12/1/1980	24.80
1/1/1981	20.30
2/1/1981	20.92
3/1/1981	21.86
4/1/1981	16.55
5/1/1981	17.25
6/1/1981	17.57
7/1/1981	17.65
8/1/1981	20.78
9/1/1981	24.42
10/1/1981	22.13
11/1/1981	19.97
12/1/1981	16.27
1/1/1982	24.56
2/1/1982	21.56
3/1/1982	20.28
4/1/1982	18.53
5/1/1982	16.91
6/1/1982	19.71
7/1/1982	17.06
8/1/1982	32.44
9/1/1982	22.75
10/1/1982	32.82
11/1/1982	32.40
12/1/1982	23.57
1/1/1983	26.17
2/1/1983	22.47
3/1/1983	19.50
4/1/1983	18.66
5/1/1983	18.08
6/1/1983	18.93
7/1/1983	23.15
8/1/1983	18.43
9/1/1983	17.72
10/1/1983	18.09
11/1/1983	16.52
12/1/1983	14.27
1/1/1984	16.23
2/1/1984	22.04
3/1/1984	18.92
4/1/1984	18.14
5/1/1984	16.02
6/1/1984	20.63
7/1/1984	16.81
8/1/1984	23.75
9/1/1984	17.66
10/1/1984	18.40
11/1/1984	17.56
12/1/1984	18.50
1/1/1985	19.27	125.22
2/1/1985	16.70	99.02
3/1/1985	16.28	112.19
4/1/1985	14.03	102.81
5/1/1985	15.63	120.08
6/1/1985	15.88	132.71
7/1/1985	15.52	128.00
8/1/1985	14.86	126.77
9/1/1985	16.76	126.77
10/1/1985	16.15	116.06
11/1/1985	16.11	122.04
12/1/1985	18.34	133.24
1/1/1986	18.12	155.93
2/1/1986	20.62	159.47
3/1/1986	23.56	160.20
4/1/1986	23.02	150.37
5/1/1986	18.89	132.64
6/1/1986	18.60	122.51
7/1/1986	19.64	132.12
8/1/1986	18.64	127.55
9/1/1986	22.71	132.02
10/1/1986	22.52	111.51
11/1/1986	18.63	115.02
12/1/1986	19.76	108.97
1/1/1987	20.77	122.11
2/1/1987	23.45	109.15
3/1/1987	21.84	122.08
4/1/1987	26.88	110.86
5/1/1987	25.41	110.04
6/1/1987	21.62	121.16
7/1/1987	17.80	106.35
8/1/1987	20.85	74.84
9/1/1987	22.89	78.98
10/1/1987	40.80	143.60
11/1/1987	49.44	155.42
12/1/1987	41.76	135.47
1/1/1988	38.34	131.52
2/1/1988	33.67	116.58
3/1/1988	29.36	105.05
4/1/1988	27.41	113.66
5/1/1988	25.72	96.15
6/1/1988	25.27	89.78
7/1/1988	23.64	85.18
8/1/1988	23.71	100.16
9/1/1988	19.52	94.55
10/1/1988	20.48	102.23
11/1/1988	21.66	113.96
12/1/1988	17.75	99.67
1/1/1989	17.76	105.08
2/1/1989	18.31	84.84
3/1/1989	17.48	97.22
4/1/1989	16.89	108.86
5/1/1989	17.44	87.82
6/1/1989	16.73	94.84
7/1/1989	18.06	84.57
8/1/1989	19.32	95.86
9/1/1989	16.75	90.92
10/1/1989	21.95	91.60
11/1/1989	20.93	107.85
12/1/1989	18.24	107.10
1/1/1990	23.50	100.36
2/1/1990	23.33	89.59
3/1/1990	18.83	86.07
4/1/1990	20.46	76.66
5/1/1990	18.15	118.54
6/1/1990	17.58	120.53
7/1/1990	18.93	111.57
8/1/1990	27.78	142.17
9/1/1990	28.82	157.70
10/1/1990	30.13	141.12
11/1/1990	25.11	145.29
12/1/1990	22.58	134.49
1/1/1991	26.93	175.66
2/1/1991	22.11	115.21
3/1/1991	19.04	116.03
4/1/1991	18.93	107.24
5/1/1991	17.18	94.76
6/1/1991	17.58	96.94
7/1/1991	17.67	93.53
8/1/1991	15.93	100.60
9/1/1991	17.03	117.05
10/1/1991	16.85	105.54
11/1/1991	17.68	122.25
12/1/1991	18.02	140.00
1/1/1992	17.50	109.20
2/1/1992	17.05	125.54
3/1/1992	16.22	91.71
4/1/1992	16.19	87.58
5/1/1992	14.73	96.87
6/1/1992	14.75	122.35
7/1/1992	13.30	120.91
8/1/1992	14.42	115.91
9/1/1992	14.26	127.02
10/1/1992	17.48	138.52
11/1/1992	14.59	118.78
12/1/1992	12.78	106.87
1/1/1993	12.58	102.53
2/1/1993	13.62	119.96
3/1/1993	13.69	121.56
4/1/1993	13.46	109.26
5/1/1993	13.54	133.59
6/1/1993	13.00	126.05
7/1/1993	12.00	117.58
8/1/1993	11.95	106.03
9/1/1993	12.62	106.27
10/1/1993	11.38	84.49
11/1/1993	13.37	84.56
12/1/1993	10.86	77.52
1/1/1994	10.61	80.01
2/1/1994	12.89	94.59
3/1/1994	14.24	87.01
4/1/1994	15.33	100.42
5/1/1994	13.39	96.53
6/1/1994	12.95	92.38
7/1/1994	12.16	85.37
8/1/1994	11.39	92.83
9/1/1994	12.61	90.63
10/1/1994	15.05	76.50
11/1/1994	16.25	91.78
12/1/1994	13.81	91.80
1/1/1995	11.71	107.95
2/1/1995	11.20	86.32
3/1/1995	11.97	78.10
4/1/1995	12.52	65.99
5/1/1995	12.46	74.70
6/1/1995	13.18	79.67
7/1/1995	14.08	83.04
8/1/1995	13.35	66.76
9/1/1995	12.24	75.23
10/1/1995	14.24	80.63
11/1/1995	12.97	90.53
12/1/1995	12.29	84.35
1/1/1996	15.07	90.66
2/1/1996	16.57	75.83
3/1/1996	18.71	72.65
4/1/1996	16.75	69.19
5/1/1996	16.86	69.43
6/1/1996	17.62	81.18
7/1/1996	19.27	73.61
8/1/1996	16.15	83.66
9/1/1996	17.05	77.98
10/1/1996	17.63	64.20
11/1/1996	17.16	74.21
12/1/1996	19.94	69.97
1/1/1997	21.03	74.97	79.94
2/1/1997	21.65	87.70	82.37
3/1/1997	22.30	75.01	71.36
4/1/1997	21.51	75.45	77.10
5/1/1997	21.93	73.46	73.52
6/1/1997	22.74	78.48	81.06
7/1/1997	23.25	73.89	66.18
8/1/1997	25.15	63.81	65.83
9/1/1997	25.59	61.16	69.84
10/1/1997	25.63	83.65	82.93
11/1/1997	31.55	78.39	97.65
12/1/1997	26.47	88.74	109.39
1/1/1998	24.43	91.04	99.82
2/1/1998	20.39	88.82	88.78
3/1/1998	20.54	78.39	92.60
4/1/1998	22.54	73.20	82.72
5/1/1998	21.45	75.86	89.61
6/1/1998	22.22	76.29	88.91
7/1/1998	20.25	88.18	106.69
8/1/1998	31.49	101.41	120.72
9/1/1998	39.25	123.96	153.06
10/1/1998	37.45	109.88	122.51
11/1/1998	25.04	92.95	101.58
12/1/1998	25.48	91.41	96.73
1/1/1999	28.62	98.65	102.25
2/1/1999	29.57	82.38	82.77
3/1/1999	26.31	66.00	67.04
4/1/1999	24.69	67.53	66.66
5/1/1999	27.38	67.09	72.64
6/1/1999	24.12	73.01	74.72
7/1/1999	21.49	79.81	74.51
8/1/1999	24.73	69.55	65.66
9/1/1999	26.05	69.82	72.61
10/1/1999	25.37	62.71	68.37
11/1/1999	22.23	82.06	69.63
12/1/1999	23.22	83.81	63.04
1/1/2000	24.84	89.20	66.86
2/1/2000	25.46	77.60	61.61
3/1/2000	24.77	77.55	62.56
4/1/2000	29.83	76.06	65.08
5/1/2000	29.43	97.99	89.18
6/1/2000	24.32	92.97	93.18
7/1/2000	22.66	79.45	66.87
8/1/2000	20.48	66.58	55.00
9/1/2000	22.34	75.14	61.97
10/1/2000	28.21	84.66	70.35
11/1/2000	29.21	125.07	111.96
12/1/2000	30.10	115.27	103.31
1/1/2001	27.83	111.42	101.77
2/1/2001	26.16	110.92	101.05
3/1/2001	32.42	116.03	112.93
4/1/2001	32.25	122.67	110.86
5/1/2001	26.10	100.43	87.05
6/1/2001	23.30	86.39	73.68
7/1/2001	24.86	102.13	99.61
8/1/2001	24.26	84.29	85.36
9/1/2001	42.65	188.06	186.55
10/1/2001	34.45	173.14	177.36
11/1/2001	28.25	130.58	128.48
12/1/2001	24.54	117.24	112.36
1/1/2002	23.62	116.84	112.16
2/1/2002	24.67	87.60	93.58
3/1/2002	21.01	83.44	81.18
4/1/2002	21.81	88.57	86.86
5/1/2002	22.63	86.30	80.35
6/1/2002	28.60	93.61	98.39
7/1/2002	38.50	110.31	104.52
8/1/2002	37.25	116.01	112.07
9/1/2002	41.66	124.04	129.29
10/1/2002	41.40	111.89	122.78
11/1/2002	32.01	123.28	125.54
12/1/2002	31.83	122.22	119.08
1/1/2003	30.67	138.95	136.80
2/1/2003	36.54	126.73	147.23
3/1/2003	35.19	163.52	183.05
4/1/2003	27.14	135.63	144.32
5/1/2003	22.55	102.62	108.59
6/1/2003	22.35	95.83	90.02
7/1/2003	21.21	91.74	81.37
8/1/2003	20.83	95.67	69.50
9/1/2003	20.68	106.12	83.63
10/1/2003	19.18	88.04	77.00
11/1/2003	17.84	84.92	74.52
12/1/2003	16.38	91.74	74.66
1/1/2004	15.83	96.57	73.26
2/1/2004	15.92	99.46	70.52
3/1/2004	17.73	96.79	79.15
4/1/2004	15.79	94.12	74.69
5/1/2004	18.08	92.32	92.99
6/1/2004	15.05	85.35	74.82
7/1/2004	15.67	87.54	74.91
8/1/2004	16.59	85.93	69.01
9/1/2004	13.88	100.01	78.31
10/1/2004	15.18	105.70	91.23
11/1/2004	14.05	95.24	85.54
12/1/2004	13.01	77.60	65.66
1/1/2005	13.51	73.92	58.71
2/1/2005	11.56	58.95	53.19
3/1/2005	12.88	57.56	54.43
4/1/2005	14.06	74.57	69.55
5/1/2005	13.18	70.51	71.56
6/1/2005	11.24	74.56	69.24
7/1/2005	10.49	68.72	60.74
8/1/2005	11.99	64.40	63.09
9/1/2005	11.96	91.41	93.47
10/1/2005	14.58	76.16	63.03
11/1/2005	11.61	72.22	66.40
12/1/2005	10.92	78.05	59.01
1/1/2006	11.71	79.18	67.87
2/1/2006	11.87	72.69	55.39
3/1/2006	11.19	64.23	59.51
4/1/2006	11.16	79.76	72.84
5/1/2006	13.49	70.84	63.71
6/1/2006	15.89	79.49	74.63
7/1/2006	14.52	80.56	67.01
8/1/2006	12.56	72.77	55.92
9/1/2006	11.40	67.07	58.69
10/1/2006	10.80	63.46	57.94
11/1/2006	10.48	62.52	55.48
12/1/2006	10.50	63.37	54.42
1/1/2007	10.63	79.02	64.15
2/1/2007	10.92	57.20	52.77
3/1/2007	14.92	69.89	61.46
4/1/2007	12.25	62.50	57.89
5/1/2007	12.97	74.68	55.49
6/1/2007	14.88	73.30	56.64
7/1/2007	17.25	59.32	50.23
8/1/2007	25.12	89.10	76.19
9/1/2007	22.18	100.74	99.42
10/1/2007	18.86	89.45	78.09
11/1/2007	26.66	102.44	83.41
12/1/2007	23.10	108.54	92.33
1/1/2008	28.12	144.98	134.74
2/1/2008	27.16	108.10	103.72
3/1/2008	29.01	111.71	114.41
4/1/2008	22.53	102.20	91.22
5/1/2008	18.79	94.28	75.68
6/1/2008	23.19	94.56	89.70
7/1/2008	25.63	109.79	90.86
8/1/2008	22.65	95.87	90.07
9/1/2008	33.68	187.74	171.31
10/1/2008	67.15	189.92	199.96
11/1/2008	65.59	148.84	141.99
12/1/2008	53.46	145.99	145.20
1/1/2009	45.30	171.95	146.64
2/1/2009	46.32	187.11	149.80
3/1/2009	46.53	166.90	131.17
4/1/2009	38.54	131.86	103.19
5/1/2009	31.85	138.81	100.87
6/1/2009	27.70	130.93	99.84
7/1/2009	25.93	126.28	94.16
8/1/2009	24.31	152.55	92.23
9/1/2009	23.77	145.44	93.11
10/1/2009	23.54	138.13	79.84
11/1/2009	22.48	116.16	92.25
12/1/2009	19.52	121.22	93.28
1/1/2010	19.84	149.36	108.39
2/1/2010	21.49	132.80	105.59
3/1/2010	16.84	137.47	98.11
4/1/2010	16.06	137.08	97.65
5/1/2010	30.80	151.10	146.13
6/1/2010	28.74	140.57	126.67
7/1/2010	25.06	180.01	133.74
8/1/2010	23.99	147.31	118.88
9/1/2010	20.89	182.15	131.05
10/1/2010	19.82	163.42	116.47
11/1/2010	19.12	179.14	121.85
12/1/2010	16.36	165.41	122.22
1/1/2011	15.80	142.17	104.90
2/1/2011	15.55	145.51	87.84
3/1/2011	19.78	174.35	120.92
4/1/2011	15.18	157.50	110.88
5/1/2011	16.28	126.19	81.78
6/1/2011	19.25	158.09	108.89
7/1/2011	18.72	197.92	157.43
8/1/2011	36.13	245.13	210.36
9/1/2011	37.30	204.63	185.80
10/1/2011	31.99	159.74	161.70
11/1/2011	31.48	166.34	201.60
12/1/2011	24.55	189.40	181.88
1/1/2012	19.18	178.29	165.47
2/1/2012	16.64	149.64	141.13
3/1/2012	14.67	137.55	134.26
4/1/2012	17.20	136.60	121.42
5/1/2012	20.75	158.56	156.67
6/1/2012	20.61	194.61	190.17
7/1/2012	16.77	184.88	161.30
8/1/2012	14.58	152.35	125.65
9/1/2012	14.37	175.28	147.68
10/1/2012	15.89	165.94	163.61
11/1/2012	17.13	187.49	177.51
12/1/2012	17.57	192.83	163.83
1/1/2013	13.00	157.53	165.62
2/1/2013	13.33	114.65	124.80
3/1/2013	12.42	124.94	136.21
4/1/2013	13.41	118.71	129.18
5/1/2013	12.77	104.30	101.52
6/1/2013	16.93	114.62	109.38
7/1/2013	13.45	94.04	106.35
8/1/2013	13.80	102.77	114.57
9/1/2013	14.59	144.40	124.90
10/1/2013	13.97	171.02	146.25
11/1/2013	11.89	89.91	86.25
12/1/2013	12.76	104.60	111.69
1/1/2014	13.11	93.50	105.19
2/1/2014	14.12	88.99	93.42
3/1/2014	13.70	93.47	108.80
4/1/2014	13.72	91.12	90.17
5/1/2014	11.44	90.39	98.72
6/1/2014	10.15	81.01	80.08
7/1/2014	10.37	76.64	88.93
8/1/2014	12.25	71.26	99.87
9/1/2014	11.82	84.34	122.52
10/1/2014	17.03	100.21	123.14
11/1/2014	12.27	88.56	105.46
12/1/2014	14.87	85.19	109.38
1/1/2015	17.80	117.16	140.43
2/1/2015	15.30	100.32	107.80
3/1/2015	14.89	105.22	93.41
4/1/2015	13.76	109.64	100.79
5/1/2015	13.43	101.02	105.34
6/1/2015	15.09	108.95	114.14
7/1/2015	14.81	98.92	132.85
8/1/2015	19.90	129.70	140.66
9/1/2015	24.46	138.72	191.75
10/1/2015	16.59	102.89	132.51
11/1/2015	16.04	92.10	95.78
12/1/2015	18.74	99.34	112.52
1/1/2016	23.93	119.02	155.57
2/1/2016	23.96	114.62	162.99
3/1/2016	16.17	104.19	170.61
4/1/2016	14.22	84.25	146.04
5/1/2016	14.59	82.04	137.39
6/1/2016	17.20	162.63	253.94
7/1/2016	12.11	121.96	263.75
8/1/2016	11.10	91.83	150.16
9/1/2016	13.43	79.81	160.54
10/1/2016	14.73	92.52	140.93
11/1/2016	15.09	169.38	270.53
12/1/2016	11.77	115.15	256.24
1/1/2017	11.07	134.87	281.88
2/1/2017	11.28	133.33	214.54
3/1/2017	10.47	119.78	231.01
4/1/2017	9.25	121.57	182.94
5/1/2017	8.74	104.17	182.52
6/1/2017	10.13	98.76	164.89
7/1/2017	8.65	110.75	129.08
8/1/2017	9.26	109.18	139.41
9/1/2017	7.87	96.75	153.35
10/1/2017	8.62	102.16	155.16
11/1/2017	10.36	94.49	150.00
12/1/2017	9.46	111.50	147.49
1/1/2018	13.77	123.65	124.35
2/1/2018	18.14	94.01	121.14
3/1/2018	22.05	136.33	152.85
4/1/2018	16.30	108.21	146.01
5/1/2018	13.98	124.94	177.45
6/1/2018	15.26	108.63	188.25
7/1/2018	11.59	133.09	213.48
8/1/2018	11.16	99.14	184.69
9/1/2018	11.30	102.66	192.93
10/1/2018	23.57	111.51	224.10
11/1/2018	20.75	130.22	241.70
12/1/2018	28.18	166.29	311.56

Note: The upper panel shows the Economic Policy Uncertainty Index normalized to mean 100 from Jan. 1985 to March 2019. Text-based from Baker, Bloom, and Davis (2015). Global EPU is average of EPU for 20 countries, including U.S. The bottom panel shows financial market-based uncertainty index (30-day S&P 500 option-implied volatility). Shaded areas represent NBER recessions.

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Figure 4: Impact of Foreign Uncertainty

Foreign Uncertainty Shocks on U.S. IP

Horizon (Month)	REU	EPU	VIX
1	0.00	0.00	0.05
2	-0.06	-0.03	0.04
3	-0.08	-0.03	-0.01
4	-0.09	-0.09	-0.12
5	-0.15	-0.07	-0.09
6	-0.18	-0.08	-0.09
7	-0.21	-0.07	-0.14
8	-0.24	-0.09	-0.11
9	-0.21	-0.11	-0.12
10	-0.23	-0.10	-0.08
11	-0.25	-0.05	-0.07
12	-0.24	-0.01	-0.04
13	-0.24	-0.04	-0.07
14	-0.22	-0.05	-0.08
15	-0.22	-0.06	-0.09
16	-0.23	-0.05	-0.06
17	-0.22	-0.06	-0.05
18	-0.21	-0.06	-0.05
19	-0.21	-0.07	-0.04
20	-0.20	-0.05	-0.02

Foreign Uncertainty Shocks on U.S. Equity Prices

Horizon (Month)	REU	EPU	VIX
1	0.01	-0.86	-2.00
2	-0.01	-0.97	-2.39
3	-0.10	-0.94	-1.94
4	-0.38	-0.49	-1.59
5	-0.41	-0.21	-1.28
6	-0.33	-0.53	-1.22
7	-0.40	-0.35	-0.61
8	-0.50	-0.08	-0.32
9	-0.70	0.14	-0.33
10	-1.04	-0.09	-0.39
11	-1.07	-0.24	-0.41
12	-1.32	0.07	-0.34
13	-1.36	0.20	-0.35
14	-1.25	0.21	-0.18
15	-0.99	0.22	-0.12
16	-0.78	0.08	-0.15
17	-0.66	0.04	-0.29
18	-0.62	0.09	-0.16
19	-0.73	0.06	-0.03
20	-0.72	0.07	-0.06

Note: Results from VAR with following variable order (Foreign Uncertainty, U.S. Uncertainty, Log U.S. Employment, Log U.S. CPI, log Foreign IP, log U.S. IP). VAR is estimated using Cholesky Decomposition. Sample: 1985:01 to 2018:12. *, **, and *** denotes significance at the 10, 5, and 1% level for the maximum (negative) effect.

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Last Update: October 08, 2019

Board of Governors of the Federal Reserve System

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