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 originale | English |
---|---|
pagine (da-a) | 39-42 |
Numero di pagine | 4 |
Rivista | ECONOMICS LETTERS |
Volume | 121 |
DOI | |
Stato di pubblicazione | Pubblicato - 2013 |
Keywords
- Economic policy uncertainty
- Structural vector autoregressive