Hauzenberger, Niko, Böck, Maximilian, Pfarrhofer, Michael, Stelzer, Anna, Zens, Gregor. 2018. Implications of macroeconomic volatility in the Euro area.
BibTeX
Abstract
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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Status of publication | Published |
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Affiliation | WU |
Type of publication | Working/discussion paper, preprint |
Language | English |
Title | Implications of macroeconomic volatility in the Euro area |
Year | 2018 |
URL | https://arxiv.org/abs/1801.02925v2 |
JEL | C30, F41, E32 |
Associations
- Projects
- Modeling and forecasting exchange rates in an unified econometric framework
- People
- Hauzenberger, Niko (Former researcher)
- Pfarrhofer, Michael (Former researcher)
- Stelzer, Anna (Former researcher)
- Zens, Gregor (Details)
- External
- Böck, Maximilian (Universität Wien, Austria)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 5323 Econometrics (Details)
- 5371 Macroeconomics (Details)