Economic policy uncertainty in the US: Does it matter for the Euro Area?

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

Abstract

We investigate the effects of a US economic policy uncertainty shock on some Euro area macroeconomic aggregates via Structural VARs. We model the indicators of economic policy uncertainty recently developed by Baker et al. (2013) jointly with the aggregate price indexes and alternative indicators of the business cycle for the two above indicated economic areas. According to our SVARs, a one standard deviation shock to US economic policy uncertainty leads to a statistically significant fall in the European industrial production and prices of −0.12% and −0.06%, respectively. The contribution of the US uncertainty shock on the European aggregates is shown to be quantitatively larger than the one exerted by an Euro area-specific uncertainty shock.
Lingua originaleEnglish
pagine (da-a)39-42
Numero di pagine4
RivistaECONOMICS LETTERS
Volume121(1)
DOI
Stato di pubblicazionePubblicato - 2013

Keywords

  • Economic policy uncertainty
  • Structural vector autoregressive

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