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Economic Policy Uncertainty in Greece: Measuring Uncertainty for the Greek Macroeconomy

Author

Listed:
  • Stilianos Fountas

    () (Department of Economics, University of Macedonia)

  • Panagiota Karatasi

    (Department of Economics, University of Macedonia)

  • Paraskevi Tzika

    (Department of Economics, University of Macedonia)

Abstract

We constructed the monthly Economic Policy Uncertainty (EPU) index for Greece for the period 1998-2018 using the Baker et al. (2016) methodology. This index is of critical importance for macroeconomic research given the presumed heightened levels of uncertainty in the Greek economy in the context of recent economic and political events. The newly-constructed time series of the uncertainty index is discussed and related to the recent economic and financial crisis in Greece and the Eurozone. Simple statistical analysis highlights the high levels of correlation in economic policy uncertainty between Greece, European countries and the USA. It is also shown that the uncertainty correlation between Greece and Europe is time varying and has become much lower since the onset of the Greek crisis.

Suggested Citation

  • Stilianos Fountas & Panagiota Karatasi & Paraskevi Tzika, 2018. "Economic Policy Uncertainty in Greece: Measuring Uncertainty for the Greek Macroeconomy," Discussion Paper Series 2018_05, Department of Economics, University of Macedonia, revised Apr 2018.
  • Handle: RePEc:mcd:mcddps:2018_05
    as

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    References listed on IDEAS

    as
    1. N. Bloom., 2016. "Fluctuations in uncertainty," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 4.
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    3. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    4. Scott R. Baker & Nicholas Bloom & Steven J. Davis, 2016. "Measuring Economic Policy Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 131(4), pages 1593-1636.
    5. Don Bredin & John Elder & Stilianos Fountas, 2011. "Oil volatility and the option value of waiting: An analysis of the G‐7," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(7), pages 679-702, July.
    6. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 98(1), pages 85-106.
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    8. Scott R. Baker & Nicholas Bloom & Brandice Canes-Wrone & Steven J. Davis & Jonathan Rodden, 2014. "Why Has US Policy Uncertainty Risen since 1960?," American Economic Review, American Economic Association, vol. 104(5), pages 56-60, May.
    9. Fountas, Stilianos & Karanasos, Menelaos & Kim, Jinki, 2002. "Inflation and output growth uncertainty and their relationship with inflation and output growth," Economics Letters, Elsevier, vol. 75(3), pages 293-301, May.
    10. Grier, Kevin B. & Perry, Mark J., 1998. "On inflation and inflation uncertainty in the G7 countries," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 671-689, August.
    11. Bredin, Don & Fountas, Stilianos, 2009. "Macroeconomic uncertainty and performance in the European Union," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 972-986, October.
    12. Elif C. Arbatli & Steven J. Davis & Arata Ito & Naoko Miake, 2017. "Policy Uncertainty In Japan," NBER Working Papers 23411, National Bureau of Economic Research, Inc.
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    16. 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.
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    More about this item

    Keywords

    Economic Policy Uncertainty index; Greek economy; European uncertainty.;

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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