Uncertainty and spillover effects across the Euro area

Giovanni Angelini, Mauro Costantini and Joshy Easaw ()
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Joshy Easaw: Cardiff Business School, https://www.cardiff.ac.uk/people/view/609349-easaw-joshy

No E2018/15, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

Abstract: This paper investigates how macroeconomic uncertainty shocks spillover over four Eurozone countries. It also evaluates their impact on real economic activity. The paper proposes a simple two-country model with a core and a periphery economy, where uncertainty shocks spread from one country to another, with potential feedback fromthe periphery economy to the core one. An empirical analysis is conducted using a Structural Vector Autoregressive (SVAR) model with two regimes: pre-crisis period and crisis period. The findings point to uncertainty spillovers among the Eurozone countries, with some feedback from periphery economies to the core economies during the financial crisis period. Further, there is a need to account for spillovers when studying the impact of uncertainty on real economic activity.

Keywords: Uncertainty; EuroArea; Spillover effects; Real Economic Activity (search for similar items in EconPapers)
JEL-codes: C32 C50 E32 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2018-06
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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