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

Valentina Colombo

No 160, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: We investigate the effects of a US economic policy uncertainty shock on some Euro area macroeconomic aggregates with a number of Structural VARs. We model the indicators of economic policy uncertainty recently developed by Baker, Bloom and Davis (2013) jointly with a set of standard indicators of aggregate price and 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.

Keywords: Economic policy uncertainty; US-Euro area spillovers; Structural Vector Autoregressions. (search for similar items in EconPapers)
JEL-codes: E32 E52 F42 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2013-05
New Economics Papers: this item is included in nep-eec and nep-mac
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Citations: View citations in EconPapers (333)

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Journal Article: Economic policy uncertainty in the US: Does it matter for the Euro area? (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0160

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