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The Euro Crisis and Swedish GDP Growth — A Study of Spillovers

In this paper, a Bayesian VAR model is used to study the effects of euro area shocks on GDP growth in the small open economy of Sweden. A novel feature is that the new policy uncertainty index of Baker et al.(2013) is introduced in the model. The model behaves well in terms of reasonable impulse response functions. The specific effects of the euro crisis are investigated through a historical decomposition which shows that shocks to euro area GDP growth have been a reasonably important factor for Swedish GDP growth, supporting it during 2010 and holding it back thereafter. Generally, shocks to policy uncertainty have held back Swedish GDP growth during the euro crises.

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File URL: http://www.konj.se/download/18.11ffd0001429b7f50dd2e34/Working-Paper-134.pdf
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Paper provided by National Institute of Economic Research in its series Working Paper with number 134.

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Length: 15 pages
Date of creation: 25 Mar 2014
Date of revision:
Handle: RePEc:hhs:nierwp:0134
Contact details of provider: Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Phone: 46-(0)8-453 59 00
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Web page: http://www.konj.se/
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  1. Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
  2. Tamim Bayoumi & Andrew Swiston, 2007. "Foreign Entanglements; Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Working Papers 07/182, International Monetary Fund.
  3. Martín González Rozada & Eduardo Levy Yeyati, 2006. "Global Factors and Emerging Market Spreads," Research Department Publications 4445, Inter-American Development Bank, Research Department.
  4. Ashoka Mody & Mark P. Taylor, 2003. "The High-Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States," IMF Staff Papers, Palgrave Macmillan, vol. 50(3), pages 3.
  5. Bilge Erten, 2012. "Macroeconomic Transmission of Eurozone Shocks to Emerging Economies," Economie Internationale, CEPII research center, issue 131.
  6. Fabio Bagliano & Claudio Morana, 2010. "Business cycle comovement in the G-7: common shocks or common transmission mechanisms?," Applied Economics, Taylor & Francis Journals, vol. 42(18), pages 2327-2345.
  7. Michael ARTIS & Ana Beatriz C. GALVÃO & Massimiliano MARCELLINO, 2003. "The transmission mechanism in a changing world," Economics Working Papers ECO2003/18, European University Institute.
  8. Malin Adolfson & Michael K. Andersson & Jesper Lindé & Mattias Villani & Anders Vredin, 2007. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 111-144, December.
  9. Bilge Erten, 2012. "Macroeconomic transmission of eurozone shocks to emerging economies," Working Papers 2012-12, CEPII research center.
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