Arbeitspapier
Tracking global economic uncertainty: Implications for the euro area
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro area. Our measures display a clear counter-cyclical pattern and line up well to a wide range of historical events generally associated with heightened uncertainty. In addition, following Pier and Podstawski (2018), we estimate a Proxy SVAR where we instrument uncertainty shocks with changes in the price of gold around specific past events. We find that, historically, global uncertainty shocks have been important drivers of fluctuations in euro area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0.15 percentage points from euro area industrial production on impact.
- ISBN
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978-92-899-4541-7
- Language
-
Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 2541
- Classification
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Bayesian Analysis: General
Large Data Sets: Modeling and Analysis
Business Fluctuations; Cycles
Open Economy Macroeconomics
Economic Impacts of Globalization: Macroeconomic Impacts
- Subject
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Uncertainty
Forecast Errors
Stochastic Volatility
Proxy SVAR
Economic Activity
- Event
-
Geistige Schöpfung
- (who)
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Bobasu, Alina
Geis, André
Quaglietti, Lucia
Ricci, Martino
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2021
- DOI
-
doi:10.2866/621710
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
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
- Bobasu, Alina
- Geis, André
- Quaglietti, Lucia
- Ricci, Martino
- European Central Bank (ECB)
Time of origin
- 2021
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