Tracking global economic uncertainty: implications for the euro area

Alina Bobasu, André Geis, Lucia Quaglietti and Martino Ricci

No 2541, Working Paper Series from European Central Bank

Abstract: This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro area. Our measures display a clear counter-cyclical pattern and line up well to a wide range of historical events generally associated with heightened uncertainty. In addition, following Piffer and Podstawski (2018), we estimate a Proxy SVAR where we instrument uncertainty shocks with changes in the price of gold around specific past events. We find that, historically, global uncertainty shocks have been important drivers of fluctuations in euro area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0.15 percentage points from euro area industrial production on impact. JEL Classification: D81, C11, C55, E32, F41, F62

Keywords: economic activity; forecast errors; proxy SVAR; stochastic volatility; uncertainty (search for similar items in EconPapers)
Date: 2021-04
New Economics Papers: this item is included in nep-cwa, nep-eec and nep-mac
Note: 504004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Tracking Global Economic Uncertainty: Implications for the Euro Area (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20212541

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