The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model

The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model

We 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...

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Bibliographic Details
Main Authors: Rangan Gupta, Chi K. Lau, Mark Wohar
Format: Default Article
Published: 2018
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other economics not elsewhere classified
Economic policy uncertainty
US-Euro area spillovers
Quantile structural vector autoregressive model
Economics
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/33979
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https://hdl.handle.net/2134/33979

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