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The Impact of US Uncertainty Shocks on Small Open Economies
National Institute of Economic Research, Stockholm, Sweden.
Örebro University, Örebro University School of Business.ORCID iD: 0000-0002-4840-7649
2017 (English)In: Open Economies Review, ISSN 0923-7992, E-ISSN 1573-708X, Vol. 28, no 2, p. 347-368Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Springer, 2017. Vol. 28, no 2, p. 347-368
Keywords [en]
VXO; Policy uncertainty; Bayesian VAR; Spillovers
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:oru:diva-55027DOI: 10.1007/s11079-016-9424-xISI: 000399242800007Scopus ID: 2-s2.0-84997503276OAI: oai:DiVA.org:oru-55027DiVA, id: diva2:1069387
Available from: 2017-01-27 Created: 2017-01-27 Last updated: 2017-10-18Bibliographically approved

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Österholm, Pär

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CiteExportLink to record
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Citation style
  • apa
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  • nn-NB
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  • asciidoc
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