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The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions

Author

Listed:
  • Albert, Juan-Francisco
  • Gómez Fernández, Nerea

Abstract

The purpose of this research is to quantify the impact of economic uncertainty shocks in Spain by using an SVAR approach with sign restrictions with data from January 2001 to June 2018. Specifically, we analyze temporary and persistent economic uncertainty shocks. Furthermore, we isolate the uncertainty shocks whose origin is only politic to identify potential differences in the effects of the uncertainty according to its origin. Our results suggest that positive shocks to economic and political uncertainty lead to an increase in unemployment and a fall in consumer confidence, business confidence, IBEX 35 Index and industrial production. Moreover, these negative effects of uncertainty remain for a long-time horizon, especially for the case of industrial production and unemployment. According to these results, we can conclude that economic uncertainty shocks have a significant negative impact on the Spanish economy.

Suggested Citation

  • Albert, Juan-Francisco & Gómez Fernández, Nerea, 2018. "The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions," LSE Research Online Documents on Economics 90402, London School of Economics and Political Science, LSE Library.
  • Handle: RePEc:ehl:lserod:90402
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    File URL: http://eprints.lse.ac.uk/90402/
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    References listed on IDEAS

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    1. María Gil & Javier J. Pérez & Alberto Urtasun, 2017. "Macroeconomic uncertainty: measurement and impact on the Spanish economy," Economic Bulletin, Banco de España;Economic Bulletin Homepage, issue 1/2017.
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    20. repec:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689 is not listed on IDEAS
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    More about this item

    Keywords

    economic uncertainty; SVAR; sign restrictions; policy uncertainty;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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