The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions

Juan-Francisco Albert and Nerea Gómez Fernández
Authors registered in the RePEc Author Service: Nerea Gómez-Fernández ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The purpose of this research is to quantify the impact of economic uncertainty shocks in Spain by using an SVAR approach with sign restrictions with data from January 2001 to June 2018. Specifically, we analyze temporary and persistent economic uncertainty shocks. Furthermore, we isolate the uncertainty shocks whose origin is only politic to identify potential differences in the effects of the uncertainty according to its origin. Our results suggest that positive shocks to economic and political uncertainty lead to an increase in unemployment and a fall in consumer confidence, business confidence, IBEX 35 Index and industrial production. Moreover, these negative effects of uncertainty remain for a long-time horizon, especially for the case of industrial production and unemployment. According to these results, we can conclude that economic uncertainty shocks have a significant negative impact on the Spanish economy.

Keywords: economic uncertainty; SVAR; sign restrictions; policy uncertainty (search for similar items in EconPapers)
JEL-codes: D81 E21 E22 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2018-10
New Economics Papers: this item is included in nep-eec and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:90402

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