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The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model
journal contribution
posted on 2018-07-18, 10:32 authored by Rangan Gupta, Chi K. Lau, Mark WoharWe 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 1999:02–2016:05. 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, with US shocks having more pronounced effects. 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.
History
School
- Business and Economics
Department
- Business
Published in
EmpiricaPages
1 - 16Citation
GUPTA, R., LAU, C.K. and WOHAR, M.E., 2018. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model. Empirica, 46(2), pp. 353–368.Publisher
© SpringerVersion
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2018Notes
This is a post-peer-review, pre-copyedit version of an article published in Empirica. The final authenticated version is available online at: https://doi.org/10.1007/s10663-018-9400-3ISSN
0340-8744eISSN
1573-6911Publisher version
Language
- en