The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

Kronen Dominik () and Ansgar Belke
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Kronen Dominik: Macroeconomics, Universität Duisburg-Essen, Berliner Platz 6-8, 45127Essen, Germany

Review of Economics, 2017, vol. 68, issue 2, 93-116

Abstract: In light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

Keywords: macroeconomic performance under uncertainty; political uncertainty; financial uncertainty; option value of waiting; structural vector autoregression (search for similar items in EconPapers)
JEL-codes: C32 E20 E60 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1515/roe-2017-0014

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