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International spillovers of policy uncertainty

Stefan Klößner and Rodrigo Sekkel

Economics Letters, 2014, vol. 124, issue 3, 508-512

Abstract: Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one half during the financial crisis. The US and UK are responsible for a large fraction of the spillovers since the financial crisis, while the remaining countries are all net receivers of policy uncertainty shocks during and after this period.

Keywords: Policy uncertainty; Spillovers; Connectedness; Crisis transmission (search for similar items in EconPapers)
JEL-codes: C3 D80 F42 (search for similar items in EconPapers)
Date: 2014
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Working Paper: International Spillovers of Policy Uncertainty (2014) Downloads
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DOI: 10.1016/j.econlet.2014.07.015

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