Economic policy uncertainty in the US: Does it matter for the Euro Area?
AbstractWe investigate the effects of a US economic policy uncertainty shock on some Euro area macroeconomic aggregates with a number of Structural VARs. We model the indicators of economic policy uncertainty recently developed by Baker, Bloom and Davis (2013) jointly with a set of standard indicators of aggregate price and 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.
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Bibliographic InfoPaper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0160.
Length: 17 pages
Date of creation: May 2013
Date of revision:
Economic policy uncertainty; US-Euro area spillovers; Structural Vector Autoregressions.;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-15 (All new papers)
- NEP-EEC-2013-07-15 (European Economics)
- NEP-MAC-2013-07-15 (Macroeconomics)
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- Ermi̇şoğlu, Ergun & Kanik, Bi̇rol, 2013.
"Türkiye Ekonomik Politika Belirsizliği Endeksi
[Turkish Economic Policy Uncertainty Index]," MPRA Paper 49920, University Library of Munich, Germany.
- Gabriela Nodari, 2013. "Financial Regulation Policy Uncertainty and Credit Spreads in the U.S," "Marco Fanno" Working Papers 0170, Dipartimento di Scienze Economiche "Marco Fanno".
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