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Greek Economic Policy Uncertainty: Does it Matter for the European Union?

Author

Listed:
  • Nikolaos Antonakakis

    (Department of Business and Management, Webster Vienna Private University, Vienna, Austria, and Economics and Finance Subject Group, University of Portsmouth, Portsmouth Business School, Portsmouth, United Kingdom)

  • David Gabauer

    (Department of Business and Management, Webster Vienna Private University, Vienna, Austria)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

We examine the propagation of economic policy uncertainty shocks within Greece and across Europe. Our analysis reveals that Greek economic policy uncertainty was dominating the European economic policy uncertainty nearly permanently throughout the period of analysis. In particular, uncertainty related to the Greek banking sector (capital controls) and currency issues (Grexit possibility) had a significant impact on European economic policy uncertainty. Further evidence suggests that, within Greece, fiscal policy uncertainty was driven by shocks related to currency, banking and monetary policy uncertainty.

Suggested Citation

  • Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201840
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Siphumlile Mangisa & Sonali Das & Rangan Gupta, 2022. "Analyzing The Impact Of Brexit On Global Uncertainty Using Functional Linear Regression With Point Of Impact: The Role Of Currency And Equity Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 67(04), pages 1377-1388, June.
    2. Gupta, Rangan & Lau, Chi-Keung (Marco) & Sheng, Xin, 2020. "Graph theory-based network analysis of regional uncertainties of the US Economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020. "Are Uncertainties across the World Convergent?," Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
    4. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2022. "The dynamics and determinants of liquidity connectedness across financial asset markets," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 341-358.
    5. Rangan Gupta & Chi Keung Marco Lau & Jacobus A. Nel & Xin Sheng, 2020. "Monetary policy uncertainty spillovers in time and frequency domains," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-30, December.
    6. Rangan Gupta & Chi-Keung (Marco) Lau & Xin Sheng, 2019. "Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model," Working Papers 201910, University of Pretoria, Department of Economics.
    7. Śmiech, Sławomir & Papież, Monika, 2018. "Volatility spillovers among uncertainty measures. The case of EU member states," MPRA Paper 90319, University Library of Munich, Germany.

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    More about this item

    Keywords

    TVP-VAR-SV; Dynamic Connectedness; Dynamic Connectedness Decomposition; Categorical Economic Policy Uncertainty Spillovers;
    All these keywords.

    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
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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