Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146171
Authors: 
Netésunajev, Aleksei
Glass, Katharina
Year of Publication: 
2016
Series/Report no.: 
SFB 649 Discussion Paper 2016-002
Abstract: 
In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to unemployment in two largest economic regions in the world - the United States (US) and the Euro area (EA). For this purpose we deploy Bayesian Markov-switching structural vector autoregressive (MS-SVAR) model identified via heteroskedasticity. In addition to local effects we find foreign uncertainty shocks influence the Euro area but not the US unemployment. Moreover we document weaker spillovers of both local and foreign uncertainty shocks in the more volatile times.
Subjects: 
economic policy uncertainty
EPU index
unemployment
Markov-switching
structural vector autoregression
identification via heteroskedasticity
Bayesian inference
JEL: 
D80
C32
C11
E24
Document Type: 
Working Paper

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