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The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model

Author

Listed:
  • Rangan Gupta

    (University of Pretoria)

  • Chi Keung Marco Lau

    (University of Huddersfield)

  • Mark E. Wohar

    (University of Nebraska at Omaha
    Loughborough University)

Abstract

We estimate a quantile structural vector autoregressive model for the Euro area to assess the real effects of uncertainty shocks in expansions and recessions using monthly data covering the period of 1999:02–2016:05. Domestic and foreign (US) uncertainty shocks hitting during recessions are found to produce a relatively overall stronger negative impact on output growth than in expansions, with US shocks having more pronounced effects. Inflation, in general, is unaffected from a statistical perspective. Our results tend to suggest that policymakers need to implement state-dependent policies, with stimulus policies being more aggressive during recessions—something we see from our results in terms of stronger declines in the interest rate during bad times.

Suggested Citation

  • Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2019. "The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 46(2), pages 353-368, May.
  • Handle: RePEc:kap:empiri:v:46:y:2019:i:2:d:10.1007_s10663-018-9400-3
    DOI: 10.1007/s10663-018-9400-3
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    More about this item

    Keywords

    Economic policy uncertainty; US-Euro area spillovers; Quantile structural vector autoregressive model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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