Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189934
Authors: 
Armelius, Hanna
Hull, Isaiah
Köhler, Hanna Stenbacka
Year of Publication: 
2016
Series/Report no.: 
Sveriges Riksbank Working Paper Series 334
Abstract: 
Foreign measures of uncertainty, such as the US EPU index, are often used as a proxies for domestic uncertainty in small open economies. We construct an EPU index for Sweden and demonstrate that shocks to the domestic index yield different impulse response functions for GDP growth than shocks to the US index. In particular, a one standard deviation shock to the Swedish index delivers its maximum impact in the same quarter, lowering GDP growth by 0.2 percentage points. In contrast, a shock to the US index delivers its maximum impact with a one-quarter delay. Other foreign proxies, such as the EU and German indices, also generate effects that peak with a one-quarter delay.
Subjects: 
economic uncertainty
policy uncertainty
business cycles
small open economy
JEL: 
D80
E66
F41
F42
Document Type: 
Working Paper

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