We investigate the effects of a US economic policy uncertainty shock on some Euro area macroeconomic aggregates via Structural VARs. We model the indicators of economic policy uncertainty recently developed by Baker et al. (2013) jointly with the aggregate price indexes and alternative indicators of the business cycle for the two above indicated economic areas. According to our SVARs, a one standard deviation shock to US economic policy uncertainty leads to a statistically significant fall in the European industrial production and prices of −0.12% and −0.06%, respectively. The contribution of the US uncertainty shock on the European aggregates is shown to be quantitatively larger than the one exerted by an Euro area-specific uncertainty shock.

Colombo, V., Economic policy uncertainty in the US: Does it matter for the Euro Area?, <<ECONOMICS LETTERS>>, 2013; 121 (1): 39-42. [doi:10.1016/j.econlet.2013.06.024] [http://hdl.handle.net/10807/178884]

Economic policy uncertainty in the US: Does it matter for the Euro Area?

Colombo, V.
2013

Abstract

We investigate the effects of a US economic policy uncertainty shock on some Euro area macroeconomic aggregates via Structural VARs. We model the indicators of economic policy uncertainty recently developed by Baker et al. (2013) jointly with the aggregate price indexes and alternative indicators of the business cycle for the two above indicated economic areas. According to our SVARs, a one standard deviation shock to US economic policy uncertainty leads to a statistically significant fall in the European industrial production and prices of −0.12% and −0.06%, respectively. The contribution of the US uncertainty shock on the European aggregates is shown to be quantitatively larger than the one exerted by an Euro area-specific uncertainty shock.
2013
Inglese
Colombo, V., Economic policy uncertainty in the US: Does it matter for the Euro Area?, <<ECONOMICS LETTERS>>, 2013; 121 (1): 39-42. [doi:10.1016/j.econlet.2013.06.024] [http://hdl.handle.net/10807/178884]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/178884
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 337
  • ???jsp.display-item.citation.isi??? 305
social impact