I empirically investigate the impacts of government spending uncertainty on private investment using panel autoregression (PVAR). Firstly, I untangled public spending and public spending volatility shock by using GARCH (1) process and examined the impacts of government spending volatility shocks on private investment and on other macroeconomic variables by using PVAR. I also have checked the impacts of fiscal variables (Government expenditure, Government debt and tax receipts) on key macroeconomic performance by using fixed effect and random effect models. I considered panel data for 122 countries according to their income level. I divided countries in 2 groups, upper-middle-income countries and low- middle income countries respectively. The sample Period is annual and range from 2000FY to 2019FY. Employing analysis of panel data technique with random effect and fixed effect model, I investigated that fiscal variable negatively affecting macroeconomic performance. In the whole sample all the variables decline due to uncertainty in fiscal variables. Moreover, employing analysis of Panel vector autoregression on panel data to find out the impact of government spending uncertainty shocks on private investment, I documented that in overall sample private investment decreases due to uncertainty shocks in government expenditure. Private Investment decreases due to one standard deviation shock in government spending expenditure. Results from upper-middle-income countries also revealed that due to one standard deviation shock in government spending uncertainty, private investment falls. Although in low middle-income countries uncertainty in government expenditure has a positive impact on private investment. I also examined that in the overall sample and in upper-middle-income countries private investment and inflation decrease due to uncertainty shocks in government expenditure. While in lower-middle-income countries consumption and inflation decreases due to uncertainty shocks in government spending. Briefly, I find that the impact of Government spending uncertainty on private investment is not negligible, uncertainty in government spending significantly lower Private investment, consumption, and inflation. Supervisor:-Dr Ahsan ul Haq Satti