The aim of this study is to identify the impact of macroeconomic uncertainty on macroeconomic variables for 10 developed countries. Our main purpose is to find the sign effect of such uncertainty on investment and other macroeconomic fundamentals per country and compare the empirical results among three main unit root tests, ADF, KPSS and DF-GLS. Using GARCH models, the conditional variance is a good proxy in order to estimate macroeconomic uncertainty. Basically, our results mostly follow economic theory and several empirical studies. Hence, it is found that macroeconomic uncertainty has a different sign effect in the majority of the examined countries, which is our principal reason conducting this work.
