Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries

Mikhail Stolbov, Alexandr Karminsky and Maria Shchepeleva
Additional contact information
Maria Shchepeleva: National Research University Higher School of Economics

Comparative Economic Studies, 2018, vol. 60, issue 3, No 2, 332-360

Abstract: Abstract We study the relationship between economic policy uncertainty and systemic risk for nine European countries in January 2010–September 2016 by applying conventional Granger causality tests and advanced techniques (wavelet analysis and Bayesian VARs). The country-level analyses show that the lead-lag patterns vary considerably in the short and longer run as well as at different frequencies. Nonetheless, the pivotal role of uncertainty tends to strengthen over longer time horizons (at lower frequencies) and in the BVAR framework. This is true for financially fragile economies such as Ireland, Italy, Russia, Spain. A panel BVAR model confirms this finding for the whole sample.

Keywords: Bayesian VAR; Dynamic factor model; Economic policy uncertainty; Systemic risk; Wavelet coherence (search for similar items in EconPapers)
JEL-codes: C32 C38 G32 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://link.springer.com/10.1057/s41294-018-0065-5 Abstract (text/html)
Access to full text is restricted to subscribers.

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:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/41294/PS2

DOI: 10.1057/s41294-018-0065-5

Access Statistics for this article

Comparative Economic Studies is currently edited by Nauro Campos

More articles in Comparative Economic Studies from Palgrave Macmillan, Association for Comparative Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().