The timing of uncertainty shocks in a small open economy

Hanna Armelius, Isaiah Hull and Hanna Stenbacka Köhler

Economics Letters, 2017, vol. 155, issue C, 31-34

Abstract: Foreign measures of uncertainty, such as the US EPU index, are often used as a proxies for domestic uncertainty in small open economies. We construct an EPU index for Sweden and demonstrate that shocks to the domestic index yield different impulse response functions for GDP growth than shocks to the US index. In particular, a one standard deviation shock to the Swedish index delivers its maximum impact in the same quarter, lowering GDP growth by slightly less than 0.2 percentage points. In contrast, a shock to the US index delivers its maximum impact with a one-quarter delay. Other foreign proxies, such as the European and German indices, also generate effects that peak with a one-quarter delay.

Keywords: Economic uncertainty; Policy uncertainty; Business cycles; Small open economy (search for similar items in EconPapers)
JEL-codes: D80 E66 F41 F42 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016517651730109X
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The timing of uncertainty shocks in a small open economy (2016)
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:eee:ecolet:v:155:y:2017:i:c:p:31-34

DOI: 10.1016/j.econlet.2017.03.016

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().