Gupta, RanganLau, Chi Keung MarcoWohar, Mark E.2018-03-122018-02Gupta, 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/s10663-018-9400-3.0340-8744 (print)1573-6911 (online)10.1007/s10663-018-9400-3http://hdl.handle.net/2263/64221We 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© Springer Science+Business Media, LLC, part of Springer Nature 2018. The original publication is available at http://link.springer.com/journal/10663.Economic policy uncertaintyUS-Euro area spilloversQuantile structural vector autoregressive modelPostprint Article