Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/234095 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2541
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro area. Our measures display a clear counter-cyclical pattern and line up well to a wide range of historical events generally associated with heightened uncertainty. In addition, following Pier and Podstawski (2018), we estimate a Proxy SVAR where we instrument uncertainty shocks with changes in the price of gold around specific past events. We find that, historically, global uncertainty shocks have been important drivers of fluctuations in euro area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0.15 percentage points from euro area industrial production on impact.
Subjects: 
Uncertainty
Forecast Errors
Stochastic Volatility
Proxy SVAR
Economic Activity
JEL: 
D81
C11
C55
E32
F41
F62
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4541-7
Document Type: 
Working Paper

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