Greek Economic Policy Uncertainty: Does it Matter for the European Union?

Nikolaos Antonakakis, David Gabauer and Rangan Gupta

No 201840, Working Papers from University of Pretoria, Department of Economics

Abstract: We examine the propagation of economic policy uncertainty shocks within Greece and across Europe. Our analysis reveals that Greek economic policy uncertainty was dominating the European economic policy uncertainty nearly permanently throughout the period of analysis. In particular, uncertainty related to the Greek banking sector (capital controls) and currency issues (Grexit possibility) had a significant impact on European economic policy uncertainty. Further evidence suggests that, within Greece, fiscal policy uncertainty was driven by shocks related to currency, banking and monetary policy uncertainty.

Keywords: TVP-VAR-SV; Dynamic Connectedness; Dynamic Connectedness Decomposition; Categorical Economic Policy Uncertainty Spillovers (search for similar items in EconPapers)
JEL-codes: C32 C50 F42 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2018-07
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201840

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