Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/146171 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2016-002
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
economic policy uncertainty
EPU index
unemployment
Markov-switching
structural vector autoregression
identification via heteroskedasticity
Bayesian inference
JEL: 
D80
C32
C11
E24
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
611.22 kB





Publikationen in EconStor sind urheberrechtlich geschützt.