The Impact of US Uncertainty Shocks on Small Open Economies

Autor:	Pär Stockhammar, Pär Österholm
Rok vydání:	2016
Předmět:	Macroeconomics Economics and Econometrics Economy Stock market volatility 0502 economics and business 05 social sciences European integration Economics Sample (statistics) 050207 economics 050205 econometrics Bayesian vector autoregression
Zdroj:	Open Economies Review. 28:347-368
ISSN:	1573-708X 0923-7992
DOI:	10.1007/s11079-016-9424-x
Popis:	In this paper, we investigate the impact of US uncertainty shocks on GDP growth in nine small open economies: Australia, Canada, Denmark, Finland, Iceland, New Zealand, Norway, Sweden and the United Kingdom. We compare the impact of two types of shocks: i) stock market volatility shocks and ii) policy uncertainty shocks. Using quarterly data from 1986Q1 to 2016Q1, this issue is analysed using Bayesian VAR models. Our results suggest that policy uncertainty seems to matter more than stock market volatility. Stock market volatility shocks appear to robustly have significant effects on Danish GDP growth. Policy uncertainty shocks, on the other hand, reliably lowers GDP growth in all five Nordic countries in a statistically significant manner. Statistically significant effects of policy uncertainty shocks on the Anglo-Saxon countries in our sample are harder to establish and are, in our preferred specification, only found for the United Kingdom.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4db512b6bc68923f5d68d5d243c16999 https://doi.org/10.1007/s11079-016-9424-x Zobrazit plný text záznamu Full text from SpringerLink