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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...
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shock. According to our results, an increase in uncertainty has a strong negative impact on economic activity, consumer …. Uncertainty does not only impact that country where the shock originates but also has large cross-border effects. In that respect … the responses of national variables to a (foreign) uncertainty shock, indicating evidence of an international business …
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shock. According to our results, an increase in uncertainty has a strong negative impact on economic activity, consumer …. Uncertainty does not only impact that country where the shock originates but also has large cross-border effects. In that respect … the responses of national variables to a (foreign) uncertainty shock, indicating evidence of an international business …
Persistent link: https://www.econbiz.de/10012110907
shock. According to our results, an increase in uncertainty has a strong negative impact on economic activity, consumer …. Uncertainty does not only impact that country where the shock originates but also has large cross-border effects. In that respect … the responses of national variables to a (foreign) uncertainty shock, indicating evidence of an international business …
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