Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
Considering the frequency of uncertainty shocks, this study examines various uncertainties across countries. Recent literature shows conflicting evidence on whether these uncertainties are supply- or demand-driven shocks. Using quarterly data from the United States and India, this study shows that although uncertainty shocks are demand shocks in advanced economies (e.g., the United States) with a contractionary output effect, they behave as supply shocks in emerging economies (e.g., India) with an inflationary effect. In contrast to the United States, asymmetry in India results from a high and positive correlation between uncertainty and oil price shocks. This study distinguishes between international and domestic uncertainty for India and finds a significant spillover of international uncertainty. Furthermore, the study shows that domestic uncertainty also relates to the primary sector, where rainfall emerges as a source of domestic uncertainty, thereby contributing to the inflationary effect. Therefore, uncertainty shocks influence monetary policy response differently.