The Macroeconomic Effects of AI Uncertainty*

Working Paper

Juan Reyes
ESCoE Discussion Paper No. 2026-02, King's College London, Economic Statistics Centre of Excellence, 2026 Feb

Cite

APA Click to copy
Reyes, J. (2026). The Macroeconomic Effects of AI Uncertainty*. ESCoE Discussion Paper No. 2026-02. Economic Statistics Centre of Excellence.

Chicago/Turabian Click to copy
Reyes, Juan. The Macroeconomic Effects of AI Uncertainty*. ESCoE Discussion Paper No. 2026-02. Economic Statistics Centre of Excellence, February 2026.

MLA Click to copy
Reyes, Juan. “The Macroeconomic Effects of AI Uncertainty*.” ESCoE Discussion Paper No. 2026-02, Economic Statistics Centre of Excellence, Feb. 2026.

BibTeX Click to copy

@techreport{juan2026a,
  title = {The Macroeconomic Effects of AI Uncertainty*},
  year = {2026},
  month = feb,
  institution = {Economic Statistics Centre of Excellence},
  journal = {ESCoE Discussion Paper No. 2026-02},
  school = {King's College London},
  author = {Reyes, Juan},
  month_numeric = {2}
}

* Best Paper, Queen Mary University of London (QMUL) Economics and Finance Workshop 2026

[Latest Version] [Supplemental Appendix] [SUERF Policy Brief]
[ESCoE Discussion Paper] [ESCoE Webinar] [Slides] [Poster]

This paper develops a novel text-based measure of uncertainty surrounding artificial intelligence (AI) and studies its macroeconomic effects. AI uncertainty shocks are identified in an SVAR using an external instrument based on positive residual movements in the index after controlling for broader economic news about AI. Focusing on the US economy, the results show that an increase in AI uncertainty generates contractionary effects concentrated in equity prices, wages, and hours worked, while employment and industrial production display muted responses. This transmission pattern differs from conventional uncertainty shocks, which produce broader contractions in employment and real activity. The empirical responses are consistent with an automation threat channel. A more valuable option to automate strengthens the bargaining position of firms and lowers wages before adoption occurs. Industry-level estimates reveal heterogeneous labour market adjustments related to differences in AI exposure.

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Presented at the following conferences and seminars:

2025 King's Business School (KBS) Doctoral Symposium
2025 Warwick Business School (WBS) PhD Workshop on Fintech
2025 ESCoE Researcher Workshop
ESCOE Economic Measurement Webinar
4th UK Digital Economics Workshop
2025 UNSW-ESCoE Conference on Economic Measurement
ESCoE Conference on Economic Measurement 2026*
8th Queen Mary University of London (QMUL) Economics and Finance Workshop
International and Monetary Economics Network Webinar
International Association for Applied Econometrics (IAAE) 2026 Annual Conference
Royal Economic Society 2026 Annual Conference
Banca D'Italia Conference on Macroeconomic Modelling in Times of Uncertainty*

* Poster Presentation

Suggested Citation:

Reyes, J. (2026). The Macroeconomic Effects of AI Uncertainty. Economic Statistics Centre of Excellence (ESCoE) Discussion Paper 2026-02, Available at SSRN: https://ssrn.com/abstract=6233958 or http://dx.doi.org/10.2139/ssrn.6233958