dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Lau, Chi Keung Marco
|
|
dc.contributor.author |
Wohar, Mark E.
|
|
dc.date.accessioned |
2018-03-12T13:36:03Z |
|
dc.date.issued |
2018-02 |
|
dc.description.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. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2019-02-15 |
|
dc.description.librarian |
hj2018 |
en_ZA |
dc.description.uri |
http://link.springer.com/journal/10663 |
en_ZA |
dc.identifier.citation |
Gupta, R., Lau, C.K.M. & Wohar, M.E. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model. Empirica (2018). https://doi.org/10.1007/s10663-018-9400-3. |
en_ZA |
dc.identifier.issn |
0340-8744 (print) |
|
dc.identifier.issn |
1573-6911 (online) |
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dc.identifier.other |
10.1007/s10663-018-9400-3 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/64221 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Springer |
en_ZA |
dc.rights |
© Springer Science+Business Media, LLC, part of Springer Nature 2018. The original publication is available at http://link.springer.com/journal/10663. |
en_ZA |
dc.subject |
Economic policy uncertainty |
en_ZA |
dc.subject |
US-Euro area spillovers |
en_ZA |
dc.subject |
Quantile structural vector autoregressive model |
en_ZA |
dc.title |
The impact of US uncertainty on the Euro area in good and bad times : evidence from a quantile structural vector autoregressive model |
en_ZA |
dc.type |
Postprint Article |
en_ZA |