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Effects of US policy uncertainty on Swedish GDP growth

Author

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  • Pär Stockhammar

    () (National Institute of Economic Research)

  • Pär Österholm

    () (National Institute of Economic Research)

Abstract

Abstract In this paper, we study the effects of US policy uncertainty—measured as the policy uncertainty index of Baker et al. (Measuring economic policy uncertainty, 2013)—on Swedish GDP growth. Another source of spillovers of shocks to small open economies is thereby examined. We apply both Bayesian VAR models and spectral analysis to quarterly data from 1988 to 2013. Results show that increasing US policy uncertainty has significant negative effects on Swedish GDP growth. The effect seems to primarily stem from effects on investment growth and export growth. Our findings should prove useful to those who analyse and forecast the Swedish economy and potentially also other similar small open economies.

Suggested Citation

  • Pär Stockhammar & Pär Österholm, 2016. "Effects of US policy uncertainty on Swedish GDP growth," Empirical Economics, Springer, vol. 50(2), pages 443-462, March.
  • Handle: RePEc:spr:empeco:v:50:y:2016:i:2:d:10.1007_s00181-015-0934-y
    DOI: 10.1007/s00181-015-0934-y
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    Citations

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    Cited by:

    1. Rangan Gupta & Godwin Olasehinde-Williams & Mark E. Wohar, 2018. "The Impact of US Uncertainty Shocks on a Panel of Advanced and Emerging Market Economies: The Role of Exchange Rate, Trade and Financial Channels," Working Papers 201857, University of Pretoria, Department of Economics.
    2. repec:eee:ecosys:v:42:y:2018:i:4:p:569-583 is not listed on IDEAS
    3. Christian Pierdzioch & Rangan Gupta, 2017. "Uncertainty and Forecasts of U.S. Recessions," Working Papers 201732, University of Pretoria, Department of Economics.
    4. Armelius, Hanna & Hull, Isaiah & Stenbacka Köhler, Hanna, 2017. "The timing of uncertainty shocks in a small open economy," Economics Letters, Elsevier, vol. 155(C), pages 31-34.
    5. repec:eee:jmacro:v:57:y:2018:i:c:p:317-337 is not listed on IDEAS
    6. Pär Stockhammar & Pär Österholm, 2017. "The Impact of US Uncertainty Shocks on Small Open Economies," Open Economies Review, Springer, vol. 28(2), pages 347-368, April.
    7. Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018. "Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
    8. 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.

    More about this item

    Keywords

    Spillovers; Small open economy; Political uncertainty index; Bayesian VAR; Spectral analysis;

    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
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies

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