Arbeitspapier
Uncertainty and spillover effects across the euro area
This paper investigates how macroeconomic uncertainty shocks spillover over four Eurozone countries. It also evaluates their impact on real economic activity. The paper proposes a simple two-country model with a core and a periphery economy, where uncertainty shocks spread from one country to another, with potential feedback fromthe periphery economy to the core one. An empirical analysis is conducted using a Structural Vector Autoregressive (SVAR) model with two regimes: pre-crisis period and crisis period. The findings point to uncertainty spillovers among the Eurozone countries, with some feedback from periphery economies to the core economies during the financial crisis period. Further, there is a need to account for spillovers when studying the impact of uncertainty on real economic activity.
- Language
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Englisch
- Bibliographic citation
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Series: Cardiff Economics Working Papers ; No. E2018/15
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Econometric Modeling: General
Business Fluctuations; Cycles
- Subject
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Uncertainty
Euro Area
Spillover effects
Real Economic Activity
- Event
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Geistige Schöpfung
- (who)
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Angelini, Giovanni
Costantini, Mauro
Easaw, Joshy Z.
- Event
-
Veröffentlichung
- (who)
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Cardiff University, Cardiff Business School
- (where)
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Cardiff
- (when)
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2018
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Angelini, Giovanni
- Costantini, Mauro
- Easaw, Joshy Z.
- Cardiff University, Cardiff Business School
Time of origin
- 2018
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