The Impact of US Uncertainty Shocks on Small Open Economies
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) poli...
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ftzbwkiel:oai:econstor.eu:10419/244520 2023-12-03T10:24:50+01:00 The Impact of US Uncertainty Shocks on Small Open Economies Stockhammar, Pär Österholm, Pär 2016 http://hdl.handle.net/10419/244520 eng eng Örebro: Örebro University School of Business Series: Working Paper No. 5/2016 http://hdl.handle.net/10419/244520 RePEc:hhs:oruesi:2016_005 http://www.econstor.eu/dspace/Nutzungsbedingungen ddc:330 C32 F43 VXO Policy uncertainty Bayesian VAR Spillovers doc-type:workingPaper 2016 ftzbwkiel 2023-11-06T00:42:50Z 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. Report Iceland EconStor (German National Library of Economics, ZBW) Canada New Zealand Norway |
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Open Polar |
collection |
EconStor (German National Library of Economics, ZBW) |
op_collection_id |
ftzbwkiel |
language |
English |
topic |
ddc:330 C32 F43 VXO Policy uncertainty Bayesian VAR Spillovers |
spellingShingle |
ddc:330 C32 F43 VXO Policy uncertainty Bayesian VAR Spillovers Stockhammar, Pär Österholm, Pär The Impact of US Uncertainty Shocks on Small Open Economies |
topic_facet |
ddc:330 C32 F43 VXO Policy uncertainty Bayesian VAR Spillovers |
description |
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. |
format |
Report |
author |
Stockhammar, Pär Österholm, Pär |
author_facet |
Stockhammar, Pär Österholm, Pär |
author_sort |
Stockhammar, Pär |
title |
The Impact of US Uncertainty Shocks on Small Open Economies |
title_short |
The Impact of US Uncertainty Shocks on Small Open Economies |
title_full |
The Impact of US Uncertainty Shocks on Small Open Economies |
title_fullStr |
The Impact of US Uncertainty Shocks on Small Open Economies |
title_full_unstemmed |
The Impact of US Uncertainty Shocks on Small Open Economies |
title_sort |
impact of us uncertainty shocks on small open economies |
publisher |
Örebro: Örebro University School of Business |
publishDate |
2016 |
url |
http://hdl.handle.net/10419/244520 |
geographic |
Canada New Zealand Norway |
geographic_facet |
Canada New Zealand Norway |
genre |
Iceland |
genre_facet |
Iceland |
op_relation |
Series: Working Paper No. 5/2016 http://hdl.handle.net/10419/244520 RePEc:hhs:oruesi:2016_005 |
op_rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
_version_ |
1784273397150121984 |