The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model

Rangan Gupta, Chi Keung Marco Lau, Mark E. Wohar

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

We estimate a quantile structural vector autoregressive model for the Euro area to assess the real effects of uncertainty shocks in expansions and recessions using monthly data covering the period of 1999:02–2016:05. Domestic and foreign (US) uncertainty shocks hitting during recessions are found to produce a relatively overall stronger negative impact on output growth than in expansions, with US shocks having more pronounced effects. Inflation, in general, is unaffected from a statistical perspective. Our results tend to suggest that policymakers need to implement state-dependent policies, with stimulus policies being more aggressive during recessions—something we see from our results in terms of stronger declines in the interest rate during bad times.
LanguageEnglish
Pages353-368
Number of pages16
JournalEmpirica
Volume46
Issue number2
Early online date15 Feb 2018
DOIs
Publication statusPublished - May 2019

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Euro
recession
uncertainty
interest rate
inflation
evidence
stimulus
time
policy
effect

Cite this

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The impact of US uncertainty on the Euro area in good and bad times : evidence from a quantile structural vector autoregressive model. / Gupta, Rangan; Lau, Chi Keung Marco; Wohar, Mark E.

In: Empirica, Vol. 46, No. 2, 05.2019, p. 353-368.

Research output: Contribution to journalArticle

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