TY - JOUR
T1 - Economic policy uncertainty in the US: Does it matter for the Euro Area?
AU - Colombo, Valentina
PY - 2013
Y1 - 2013
N2 - 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.
AB - 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.
KW - Economic policy uncertainty
KW - Structural vector autoregressive
KW - Economic policy uncertainty
KW - Structural vector autoregressive
UR - http://hdl.handle.net/10807/178884
UR - https://www.sciencedirect.com/science/article/abs/pii/s0165176513003066
U2 - http://dx.doi.org/10.1016/j.econlet.2013.06.024
DO - http://dx.doi.org/10.1016/j.econlet.2013.06.024
M3 - Article
SN - 1873-7374
VL - 121(1)
SP - 39
EP - 42
JO - ECONOMICS LETTERS
JF - ECONOMICS LETTERS
ER -