Implications of Macroeconomic Volatility in the Euro Area

Niko Hauzenberger (), Maximilian Böck (), Michael Pfarrhofer, Anna Stelzer () and Gregor Zens ()
Authors registered in the RePEc Author Service: Maximilian Böck

Department of Economics Working Paper Series from WU Vienna University of Economics and Business

Abstract: In this paper, we estimate a Bayesian vector autoregressive (VAR) model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area (EA). This allows us to incorporate uncertainty directly into the econometric framework and treat it as a latent quantity. Only a limited number of papers estimates impacts of uncertainty and macroeconomic consequences jointly, and most literature in this sphere is based on single countries. We analyze the special case of a shock restricted to the Euro area, whose countries are highly related by definition. Among other variables, we find significant results of a decrease in real activity measured by GDP in most Euro area countries over a period of roughly a year following an uncertainty shock.

Keywords: vector autoregressive models; factor stochastic volatility; uncertainty shocks (search for similar items in EconPapers)
Date: 2018-04
New Economics Papers: this item is included in nep-eec and nep-mac
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Implications of macroeconomic volatility in the Euro area (2018)
Working Paper: Implications of macroeconomic volatility in the Euro area (2018)
Working Paper: Implications of Macroeconomic Volatility in the Euro Area (2018)
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