Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303264 
Year of Publication: 
2024
Series/Report no.: 
IES Working Paper No. 34/2024
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
This paper proposes a novel approach to decompose the Economic Policy Uncertainty indices of European countries into the common and country-specific components using the time-varying total connectedness. Then, by employing a Bayesian panel VAR model, we assess how common and country-specific uncertainty shocks influence economic activity, prices, and monetary policy, with the shocks identified using zero and sign restrictions. Our results reveal that only common shocks have significant effects on all macroeconomic variables. This result is robust across alternative samples and structural identifications. Therefore, our findings imply that policymakers should focus on uncertainty shocks that are synchronized across countries.
Subjects: 
Common uncertainty
economic policy uncertainty
panel VAR
spillovers
JEL: 
C32
F42
F45
Document Type: 
Working Paper

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