Original title: Economic Policy Uncertainty in Europe: Spillovers and Common Shocks
Authors: Baxa, Jaromír ; Šestořád, T.
Document type: Research reports
Year: 2024
Language: eng
Series: Czech National Bank Working Paper Series, volume: 9/2024
Abstract: This paper proposes a novel approach to decompose the Economic Policy Uncertainty indices of European countries into the common and country-specific components using the time-varying total connectedness. Then, by employing a Bayesian panel VAR model, we assess how common and country-specific uncertainty shocks influence economic activity, prices, and monetary policy, with the shocks identified using zero and sign restrictions. Our results reveal that only common shocks have significant effects on all macroeconomic variables. This result is robust across alternative samples and structural identifications. Therefore, our findings imply that policymakers should focus on uncertainty shocks that are synchronized across countries.
Keywords: Common uncertainty; Economic Policy Uncertainty; Panel VAR
Project no.: GA20-14990S (CEP)
Funding provider: GA ČR

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: https://library.utia.cas.cz/separaty/2024/E/baxa-0599308.pdf
Original record: https://hdl.handle.net/11104/0357084

Permalink: http://www.nusl.cz/ntk/nusl-662677


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