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The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model

Author

Listed:
  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria)

  • Chi Keung Marco Lau

    (Newcastle Business School, Northumbria University, UK)

  • Mark E. Wohar

    (College of Business Administration, University of Nebraska at Omaha and School of Business and Economics, Loughborough University, Leicestershire)

Abstract
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 to 2016:05. Domestic and foreign (US) uncertainty shocks hitting during recessions are found to produce a relatively overall stronger negative impact on output growth than in expansions. Inflation, in general, is unaffected from a statistical perspective. Our results tend to suggest that policymakers need to implement state-dependent policies, with stimulus policies being more aggressive during recessions – something we see from our results in terms of stronger declines in the interest rate during bad times.

Suggested Citation

  • Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201681
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    Keywords

    Economic Policy Uncertainty; US-Euro Area Spillovers; Quantile Structural Vector Autoregressive Model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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