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International Spillovers of Policy Uncertainty

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  • Stefan Klößner
  • Rodrigo Sekkel

Abstract

Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis. The United States and United Kingdom are responsible for a large fraction of the spillovers since the financial crisis, while Canada and the remaining countries are all net receivers of policy uncertainty shocks during and after this period.

Suggested Citation

  • Stefan Klößner & Rodrigo Sekkel, 2014. "International Spillovers of Policy Uncertainty," Staff Working Papers 14-57, Bank of Canada.
    • Handle: RePEc:bca:bocawp:14-57
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    References listed on IDEAS

    as
    1. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
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    More about this item

    Keywords

    Econometric and statistical methods;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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