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
page_count 38 s.
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
url https://library.utia.cas.cz/separaty/2024/E/baxa-0599308.pdf
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