Niko Hauzenberger, Maximilian Böck, Michael Pfarrhofer, Anna Stelzer, Gregor Zens
arXiv 9 Jan 2018 · Econometrics · 1 citations (OpenAlex)
arXiv:1801.02925 · PDF · DOI · OpenAlex · Extracted main text
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro area, where member states are highly related by construction. We find significant results of a decrease in real activity for all countries over a period of roughly a year following an uncertainty shock. Moreover, equity prices, short-term interest rates and exports tend to decline, while unemployment levels increase. Dynamic responses across countries differ slightly in magnitude and duration, with Ireland, Slovakia and Greece exhibiting different reactions for some macroeconomic fundamentals.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Crespo Cuaresma et al (2017) The Macroeconomic Effects of International Uncertainty Shocks | 1.000 | 7 | 4 | 100% |
| 2 | Bloom (2009) The Impact of Uncertainty Shocks | 0.874 | 5 | 2 | 100% |
| 3 | Jurado et al (2015) Measuring Incertainty | 0.811 | 4 | 2 | 100% |
| 4 | Huber and Feldkircher (2017) Adaptive shrinkage in Bayesian vector autoregressive models | 0.644 | 4 | 1 | 100% |
| 5 | Carriero et al (2016) Measuring Uncertainty and Its Impact on the Economy | 0.644 | 2 | 2 | 100% |
| 6 | Aguilar and West (2000) Bayesian Dynamic Factor Models and Portfolio Allocation | 0.585 | 3 | 1 | 100% |
| 7 | Carriero et al (2015) The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach | 0.511 | 2 | 1 | 100% |
| 8 | Baker et al (2016) Measuring Economic Policy Uncertainty | 0.405 | 1 | 1 | 100% |
| 9 | Caggiano et al (2014) Uncertainty Shocks and Unemployment Dynamics in US Recessions | 0.405 | 1 | 1 | 100% |
| 10 | Basu and Bundick (2017) Uncertainty Shocks in a Model of Effective Demand | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.