The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model
Rangan Gupta (),
Chi Keung Lau and
Mark Wohar ()
No 201681, Working Papers from University of Pretoria, Department of Economics
We estimate a quantile structural vector autoregressive model for the Euro Area to assess the real effects of uncertainty shocks in expansions and recessions using monthly data covering the period of 1999:02 to 2016:05. Domestic and foreign (US) uncertainty shocks hitting during recessions are found to produce a relatively overall stronger negative impact on output growth than in expansions. Inflation, in general, is unaffected from a statistical perspective. Our results tend to suggest that policymakers need to implement state-dependent policies, with stimulus policies being more aggressive during recessions – something we see from our results in terms of stronger declines in the interest rate during bad times.
Keywords: Economic Policy Uncertainty; US-Euro Area Spillovers; Quantile Structural Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: C32 E32 E60 (search for similar items in EconPapers)
Pages: 18 pages
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 (6) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201681
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().