The lead–lag relationship of US fiscal policy uncertainty: New evidence from <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si2.svg" display="inline" id="d1e1080"> <mml:msup> <mml:mrow> <mml:mi>R</mml:mi> </mml:mrow> <mml:mrow> <mml

This study examines the dynamic interdependencies between US fiscal policy uncertainty, federal funds effective rate, industrial production, gross federal debt, VIX, and WTI crude oil using monthly data from February 1990 to May 2025. We employ the recently developed R 2 decomposed connectedness approach of Balli et al. (2023), which decomposes interdependencies into contemporaneous and lagged components. Our empirical findings show that dynamic total connectedness is heterogeneous over time and economic event-dependent. Notably, contemporaneous dynamics dominate lagged dynamics. Fiscal policy uncertainty, gross federal debt, federal funds effective rate, and WTI act as net transmitters of shocks, while industrial production and the VIX are net receivers of shocks. However, in the context of contemporaneous spillovers, we find that fiscal policy uncertainty primarily absorbs shocks rather than transmitting them, highlighting its reactive role and underscoring the need for well-designed policy responses to address fiscal uncertainty. • Fiscal uncertainty is a shock receiver short-term, a transmitter long-term. • Gross federal debt is the dominant transmitter of macro-financial spillovers. • Policy uncertainty has a strong impact on debt and stock market volatility. • VIX and industrial production mainly act as net receivers of shocks. • Well-designed policy responses are needed to address fiscal uncertainty.