This dissertation consists of three essays concerning the macroeconomic effects of uncertainty about future path of fiscal and monetary policy.The first chapter provides a quantitative assessment of the impact of anticipated tax changes in Japan using a Vector Autoregressive (VAR) framework. For this paper, I utilize a new dataset that documents all the legislated federal and local government taxes in Japan which have been classified as exogenous based on the narrative evidence. The time period between the announcement and the implementation dates allows me to capture the anticipation effects of tax changes. The constructed series of (exogenous) tax shocks is incorporated directly in a VAR. I find that the anticipation effects of tax policy are important and have effects that are different from the unanticipated changes in tax policy. An unanticipated tax cut is expansionary and leads to an increase in output, investment and consumption. An anticipated tax cut however generates a slowdown in the quarters before its implementation and leads to a decline in all three variables. Once the anticipated tax cut is implemented, consumption recovers but investment and output continue to stay below their long-run trend. Lastly, I show that tax shocks are an important driver of certain business cycle episodes in Japan.The second paper studies the effects of fiscal uncertainty in Japan that arises due to the repeated failure of fiscal authorities in achieving the announced promises of fiscal consolidation in the future. In a New-Keynesian DSGE model with rational expectations, I examine the extent to which the uncertainty due to these repeated promises explain the slowdown experienced by the Japanese economy. I assume Markov-switching tax rules such that the response of taxes to debt vary with the fiscal stance of the government. I document that these promises generate time-variation in both the expected value and volatility of tax rates. Even in the regime in which taxes do not stabilize debt, the rising level of debt create expectations of higher future taxes causing economic contraction in the current period. These expectations lead to a decline in consumption, investment, labor hours, output and an increase in the level of debt which is also evident in the Japanese data since the 1990s.The third chapter examines the effects of uncertainty about the future path of monetary policy which is embedded in the news about who will be the future chairman of the Federal Reserve. To the extent the appointments of the Federal Reserve chairmen convey new information about future monetary policy, the financial markets respond to them as a result of revision in their expectations of the future path of interest rates or inflation. For this purpose, I construct a new dataset based on the daily counts of news articles that discuss these appointments. The underlying assumption is that the number of such news articles published on any day roughly measures the \ew information" about the direction of monetary policy. I find that the financial markets reacted adversely (Yen appreciated against USD, bond yields increased and stock returns slightly declined) in response to Volcker's departure or Greenspan's (first) appointment. However there was a muted response of financial markets to the appointments/departures that occurred afterwards.