Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis

Paraskevi Tzika and Stilianos Fountas

Manchester School, 2021, vol. 89, issue 4, 330-352

Abstract: This paper focuses on economic policy uncertainty spillovers across Europe, before and after the outburst of the Eurozone crisis, using data for seven Eurozone countries for the period 2003–2019. At first, we analyze the spillovers of uncertainty in Europe via the estimation of the Diebold‐Yilmaz spillover index. The results indicate that uncertainty connectedness was 50.5% before the crisis, while it dropped to 30.6% afterwards indicating a sharp drop in uncertainty spillovers across the seven Eurozone countries. We also find that the importance of domestic causes in national uncertainty has increased during the crisis at the expense of imported factors. Dynamic net spillovers reveal that core Eurozone countries are uncertainty exporters before the crisis, while periphery countries transmit uncertainty to other countries during the crisis. An examination of the country which suffered the most during the crisis, using impulse response analysis, reveals that the Greek macroeconomic indicators (stock market, GDP, unemployment, and the Economic Sentiment Index) were affected more by domestic, rather than European uncertainty. The highest responses are indicated during the crisis. Overall, there is positive interdependence between Greek and European uncertainty, which diminishes during the crisis.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1111/manc.12367

Related works:
Working Paper: Economic policy uncertainty spillovers in Europe before and after the Eurozone crisis (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:89:y:2021:i:4:p:330-352

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().