EconPapers    
Economics at your fingertips  
 

Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach

Nikolaos Antonakakis, David Gabauer and Rangan Gupta ()

Physica A: Statistical Mechanics and its Applications, 2019, vol. 535, issue C

Abstract: This study examines the propagation mechanism of economic policy uncertainty shocks within Greece and between Greece and Europe over the period of January, 1998 and May, 2018. Further insights about the Greek-internal and external dynamics of economic policy uncertainty are provided by employing the recently developed dynamic connectedness decomposition approach of Gabauer and Gupta (2018). Our analysis reveals that Greek economic policy uncertainty is dominating the European economic policy uncertainty nearly permanently throughout the period of analysis. In particular, the Greek banking policy uncertainty (capital controls) and Greek currency policy uncertainty (Grexit rumors) have been significant net pairwise transmitters with respect to the European economic policy uncertainty. In addition, the Greek-internal transmission mechanism indicates that, Greek fiscal policy uncertainty indices are driven by Greek related monetary policy indices. Finally, our impulse response analysis suggests that the persistence of monetary policy related shocks is varying over time and increased after the Global Financial Crisis of 2007–2009. This magnifying effect explains partially the prolonged recovery of the European economy.

Keywords: TVP-VAR; Dynamic connectedness; Dynamic connectedness decomposition; Categorical economic policy uncertainty spillovers (search for similar items in EconPapers)
JEL-codes: C32 C50 F42 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119313202
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
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:phsmap:v:535:y:2019:i:c:s0378437119313202

DOI: 10.1016/j.physa.2019.122280

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-07-05
Handle: RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313202