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The impact of trade policy uncertainty shocks on the Euro Area

Filippo Arigoni and Črt Lenarčič ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper sets up a Bayesian SVAR model on Euro Area data and identifies trade policy uncertainty shocks using a minimum set of sign restrictions. We find that rising trade policy uncertainty adversely affects the real business cycle in the Euro Area mostly in short term, while it has more persistent effects on the Euro effective exchange rate and, to a lesser extent, on prices. In line with the recent geo-political events, the evidence suggests an increasing contribution to Euro Area fluctuations towards the end of the sample period. The results are robust to alternative measures of trade policy uncertainty. Furthermore, we show that sectors exhibit heterogeneous responses to trade policy uncertainty shocks.

Keywords: Trade policy uncertainty; Euro Area; uncertainty shocks; Bayesian SVAR; sign restrictions. (search for similar items in EconPapers)
JEL-codes: C32 D80 E30 F13 (search for similar items in EconPapers)
Date: 2020-06-01
New Economics Papers: this item is included in nep-eec, nep-int and nep-mac
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https://mpra.ub.uni-muenchen.de/100832/1/MPRA_paper_100832.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/102701/1/MPRA_paper_102701.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100832

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