The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model
Rangan Gupta (),
Chi Keung Lau and
Mark Wohar ()
Empirica, 2019, vol. 46, issue 2, No 6, 353-368
Abstract We estimate a quantile structural vector autoregressive model for the Euro area to assess the real effects of uncertainty shocks in expansions and recessions using monthly data covering the period of 1999:02–2016:05. Domestic and foreign (US) uncertainty shocks hitting during recessions are found to produce a relatively overall stronger negative impact on output growth than in expansions, with US shocks having more pronounced effects. Inflation, in general, is unaffected from a statistical perspective. Our results tend to suggest that policymakers need to implement state-dependent policies, with stimulus policies being more aggressive during recessions—something we see from our results in terms of stronger declines in the interest rate during bad times.
Keywords: Economic policy uncertainty; US-Euro area spillovers; Quantile structural vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C32 E32 E60 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s10663-018-9400-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
Working Paper: The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:empiri:v:46:y:2019:i:2:d:10.1007_s10663-018-9400-3
Ordering information: This journal article can be ordered from
http://www.springer. ... ration/journal/10663
Access Statistics for this article
Empirica is currently edited by Fritz Breuss and Fritz Breuss
More articles in Empirica from Springer, Austrian Institute for Economic Research, Austrian Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().