0599308 20250526123150.420241012235959.9 1803-7070 Prague Czech National Bank 2024 38 s. Czech National Bank Working Paper Series 9/2024 Common uncertainty Economic Policy Uncertainty Panel VAR cav_un_auth*0231592 Baxa Jaromír UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 50 Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0474627 Šestořád T. CZ https://library.utia.cas.cz/separaty/2024/E/baxa-0599308.pdf GA20-14990S GA ČR cav_un_auth*0397555 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. AH 50000 50200 50202 2025 2 2 O 4 4o 4 20250526123143.2 4 20250526123150.4 RVO:67985556 https://hdl.handle.net/11104/0357084 cav_un_auth*0308136 Univerzita Karlova v Praze, Fakulta sociálních věd FSV UK CZ S 2024 Soubory v repozitáři: 0599308.pdf 2024 Prague Czech National Bank