International Effects of Euro Area Versus U.S. Policy Uncertainty: A Favar Approach

Belke, Ansgar; Osowski, Thomas

doi:10.1111/ecin.12701

Cited by 35 publications

(28 citation statements)

References 81 publications

(139 reference statements)

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“…In these estimates, the countryspecific uncertainty shocks get transmitted to the other economies and have negative e↵ects qualitatively similar to those of the global uncertainty shocks. This pattern is broadly similar to that of Caggiano, Castelnuovo and, Figueres (2019) and Belke and Osowski (2019) for the case of U.S. economic policy uncertainty shocks. These robustness results are consistent with our main findings of strong commonality in uncertainty that a↵ects all major economies considered.…”

supporting

confidence: 72%

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Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

2018

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This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its e↵ects on major economies. We provide evidence of significant commonality in macroeconomic volatility, with one common factor driving strong comovement across economies and variables. We measure uncertainty and its e↵ects with a large model in which the error volatilities feature a factor structure containing time-varying global components and idiosyncratic components. Global uncertainty contemporaneously a↵ects both the levels and volatilities of the included variables. Our new estimates of international macroeconomic uncertainty indicate that surprise increases in uncertainty reduce output and stock prices, adversely a↵ect labor market conditions, and in some economies lead to an easing of monetary policy.

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supporting

confidence: 72%

“…Their interpretation of the results is that higher U.S. policy uncertainty leads to higher uncertainty in Canada and the U.K., and this in turn a↵ects economic activity. Belke and Osowski (2019) compare the transmission of U.S. and E.A. policy uncertainty using a large-scale FAVAR model with data for 18 OECD countries.…”

Section: Relationship To Prior Workmentioning

confidence: 99%

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

2018

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“…Their interpretation of the results is that higher US policy uncertainty leads to higher uncertainty in Canada and the UK, and this in turn affects economic activity. Belke and Osowski () compare the transmission of US and EA policy uncertainty using a large‐scale factor‐augmented vector autoregression (FAVAR) model with data for 18 OECD countries. Their results are broadly in line with those of Caggiano, Castelnuovo, and Figueres(), in the sense that the effects of both US and EA uncertainty shocks are generally negative on all countries, with stronger effects for the former than for the latter, and with uncertainty shocks originating in one country quickly increasing uncertainty in the other countries.…”

Section: Relationship To Prior Workmentioning

confidence: 99%

Assessing international commonality in macroeconomic uncertainty and its effects

Carriero

Clark

Marcellino

2020

J of Applied Econometrics

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This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant commonality in macroeconomic volatility, with one common factor driving strong comovement across economies and variables. We measure uncertainty and its effects with a large model in which the error volatilities feature a factor structure containing time-varying global components and idiosyncratic components. Global uncertainty contemporaneously affects both the levels and volatilities of the included variables. Our new estimates of international macroeconomic uncertainty indicate that surprise increases in uncertainty reduce output and stock prices, adversely affect labor market conditions, and in some economies lead to an easing of monetary policy.

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“…They find the contribution of global uncertainty shocks to the dynamics of inflation and output growth in these countries to be significantly larger than that of idiosyncratic disturbances to uncertainty. Belke and Osowski () estimate a large‐scale factor‐augmented vector autoregressive model for 18 OECD countries. They find evidence in favour of sizeable cross‐border effects related to EPU shocks.…”

Section: Introductionmentioning

confidence: 99%

Economic Policy Uncertainty Spillovers in Booms and Busts

2019

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We estimate a nonlinear VAR to quantify the impact of US economic policy uncertainty shocks on the Canadian unemployment rate in booms and busts. We find strong evidence in favour of asymmetric spillover effects. Unemployment in Canada is shown to react more strongly to uncertainty shocks in economic busts. Such shocks explain about 13% of the variance of the 2-year ahead forecast error of the Canadian unemployment rate in recessions vs. just 2% during economic booms. Counterfactual simulations point to a novel 'economic policy uncertainty spillovers channel'. According to this channel, jumps in US uncertainty foster economic policy uncertainty in Canada in the first place and, because of the latter, lead to a temporary increase in the Canadian unemployment rate. Evidence of asymmetric spillover effects are also found for the UK economy, whose trade intensity with the US is low. This result is consistent with a transmission channel other than trade behind our findings.

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International Effects of Euro Area Versus U.S. Policy Uncertainty: A Favar Approach

Cited by 35 publications

References 81 publications

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

Assessing international commonality in macroeconomic uncertainty and its effects

Economic Policy Uncertainty Spillovers in Booms and Busts

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