Economic Policy Uncertainty in the Euro Area: Cross-Country Spillovers and Macroeconomic Impact

被引:5
作者
Clausen, Volker [1 ]
Schloesser, Alexander [1 ]
Thiem, Christopher [1 ]
机构
[1] Univ Duisburg Essen, Int Econ, Fachgebiet Votkswirtschaftslehre, Univ Str 12, D-45117 Essen, Germany
来源
JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK | 2019年 / 239卷 / 5-6期
关键词
economic policy uncertainty; network connectedness; spillovers; variance decomposition; rolling sample VARs; time-varying parameter VARs; IMPULSE-RESPONSE ANALYSIS; IRREVERSIBILITY;
D O I
10.1515/jbnst-2018-0083
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper analyzes spillovers and the macroeconomic effects of economic policy uncertainty (EPU) in Europe over the last two decades. Drawing on the newspaper-based uncertainty indices by Baker et al. (2016, Measuring Economic Policy Uncertainty. Quarterly Journal of Economics 131 (4): 1593-1636), we first use the Diebold and Yilmaz (2014 On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. Journal of Econometrics 182 (1):119-134) connectedness index methodology to investigate the static and dynamic patterns of EPU spillovers. We find substantial spillovers across the European countries. Over time, Germany in particular has become increasingly connected to the other economies. In a second step, we investigate the economic impact of EPU shocks using a structural VAR. The detrimental influence of uncertainty turns out to be regime-dependent. We identify a pre-crisis, a crisis and a post-crisis regime, and the effect is only significant in the former two. Finally, the impact of EPU shocks is also heterogeneous across the monetary union's most important members.
引用
收藏
页码:957 / 981
页数:25
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