| bibtype |
V -
Research Report
|
| ARLID |
0599308 |
| utime |
20241021141005.1 |
| mtime |
20241012235959.9 |
| ISSN |
1803-7070 |
| title
(primary) (eng) |
Economic Policy Uncertainty in Europe: Spillovers and Common Shocks |
| publisher |
| place |
Prague |
| name |
Czech National Bank |
| pub_time |
2024 |
|
| specification |
|
| edition |
| name |
Czech National Bank Working Paper Series |
| volume_id |
9/2024 |
|
| keyword |
Common uncertainty |
| keyword |
Economic Policy Uncertainty |
| keyword |
Panel VAR |
| author
(primary) |
| ARLID |
cav_un_auth*0231592 |
| name1 |
Baxa |
| name2 |
Jaromír |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
50 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0474627 |
| name1 |
Šestořád |
| name2 |
T. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| project_id |
GA20-14990S |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0397555 |
|
| abstract
(eng) |
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. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2025 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0357084 |
| cooperation |
| ARLID |
cav_un_auth*0308136 |
| name |
Univerzita Karlova v Praze, Fakulta sociálních věd |
| institution |
FSV UK |
| country |
CZ |
|
| confidential |
S |
| arlyear |
2024 |
| mrcbU10 |
2024 |
| mrcbU10 |
Prague Czech National Bank |
|