The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

Belke, Ansgar; Kronen, Dominik

doi:10.1515/roe-2017-0014

Cited by 4 publications

(2 citation statements)

References 43 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In our study, the sign of economic policy uncertainty effect on financial stress and industrial production comports with intuition. However, it contrasts with Kronen and Belke (2017) who argue that, based on a structural vector autoregression (SVAR), an increase in European economic policy uncertainty spurs GDP growth in Germany and the Netherlands. In another study, which exploits a distinctive methodology—a factor‐augmented VAR (FAVAR), Belke and Osowski (2019) find that higher European economic policy uncertainty dampens growth in the Netherlands, while still promoting it in Germany.…”

Section: Country‐level Resultsmentioning

confidence: 81%

Macrofinancial linkages in Europe: Evidence from quantile local projections

Stolbov

Shchepeleva

2020

Int. J Fin Econ

View full text Add to dashboard Cite

The paper investigates macrofinancial linkages in the sample of 16 European economies over January 1997–December 2019 from a new twofold perspective. First, we put a particular emphasis on the role of news‐based sentiment measures in these relationships, that is, economic policy uncertainty and global geopolitical risk. Second, we pursue a hybrid econometric approach to capture a presumably nonlinear nature of these linkages by building on different quantiles of the data series and estimating impulse responses from smooth local projections (Barnichon and Brownlees, Review of Economics and Statistics, 101(3), 522–530, 2019). Our results legitimize such approach as the number of statistically significant impulse responses based on this approach is skewed towards upper (75th and 90th) quantiles. We find that global economic policy uncertainty index dampens the growth rates of industrial production in Austria, France, Italy, Luxembourg and Slovakia, which calls for specific measures to mitigate this adverse effect at the national level, for example, by curtailing yellow journalism, populist ideas and disbeliefs. However, there is only minor evidence for the relationship running between economic policy uncertainty and financial stress. Global geopolitical risk appears irrelevant in the country‐ and panel‐level analyses. Meanwhile, the VIX index performs a pervasive role in undermining industrial production and increasing economic policy uncertainty in Europe.

show abstract

Section: Country‐level Resultsmentioning

confidence: 81%

Macrofinancial linkages in Europe: Evidence from quantile local projections

Stolbov

Shchepeleva

2020

Int. J Fin Econ

View full text Add to dashboard Cite

show abstract

“…For example, Kronen and Belke (2017) have explained that uncertainty can come from different sources and relate in particular to the state of the economy, the nature of economic relations or the magnitude and persistence of the shocks that occur. Uncertainty about the evolution of the Tunisian economy derives from multiple sources and has many aspects.…”

Section: 22mentioning

confidence: 99%

Monetary policy and inflation targeting under global uncertainty: a SVAR approach for Tunisia

Trabelsi,

Ben Khaled

2023

JFEP

View full text Add to dashboard Cite

Purpose The implementation of monetary policy by the central bank is an ongoing topic of discussion. This paper aims to explore monetary policy transmission shocks in times of uncertainty using the new World uncertainty index (WUI). The authors investigate the impact of crises, wars and pandemic shocks on selected macroeconomic variables. Design/methodology/approach The authors use unit root tests, structural vector autoregressive model and the Granger causality test according to Toda–Yamamoto with quarterly data over 1999–2022. Findings The results of this study show that in the short run, there is a unidirectional relationship between the money market rate and WUI, while the relationship between the latter and the money supply (M2) is bidirectional. The short-term effect runs from WUI to inflation. In the long run, the variance decomposition shows that global uncertainty explains around 12% of inflation pressures. The uncertainty caused by special events in the world creates positive shocks on inflation in Tunisia, which decreases the ability of the central bank to control inflation. Research limitations/implications The results have implications over necessary and urgent actions to be implemented for a progressive economic recovery but point to a necessary transition to an inflation-targeting regime. Originality/value Examining monetary policy under uncertainty is a recent phenomenon. The authors purposely use a novel WUI by Ahir et al. (2022) that is unexploited in literature.

show abstract

What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality

Costantini

Sousa

2022

Journal of International Money and Finance

View full text Add to dashboard Cite

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

Cited by 4 publications

References 43 publications

Macrofinancial linkages in Europe: Evidence from quantile local projections

Macrofinancial linkages in Europe: Evidence from quantile local projections

Monetary policy and inflation targeting under global uncertainty: a SVAR approach for Tunisia

What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality

Contact Info

Product

Resources

About