We show the usefulness of the index in studying the heterogeneity of uncertainty across Euro Area countries as well as the spillover effects via a â¦ 12, No 2, pp. âTHE EURO IN 2020: A Yearbook on the European Monetary Unionâ. Meinen and Roehe (2017) used various uncertainty proxies to document pronounced negative investment responses to uncertainty shocks in the euro area. While there are a variety of uncertainty measures available and studied for the US (see Bloom, 2014), the available measures of uncertainty for the Euro Area are only a few. The World Uncertainty Index is a new measure that tracks uncertainty across the globe by text mining the country reports of the Economist Intelligence Unit. "An Area-Wide Real-Time Database for the Euro Area," CEPR Discussion Papers 7673, C.E.P.R. The impact of the recent spike in uncertainty on economic activity in the euro area. Directorate-General for Internal Policies . the euro area debt crisis in the second half of 2011, the uncertainty index saw a further huge upswing, surpassing the highs of the global financial crisis. uncertainty on consumption and investment', Quarterly Report on the Euro Area, Vol. This paper introduces the Rossi and Sekhposyan (Am Econ Rev 105(5): 650â655, 2015) uncertainty index for the Euro Area and its member countries. (such as the Euro Area). We show the usefulness of the index in studying the heterogeneity of uncertainty across Euro Area countries as well as the spillover effects via a network approach. 7-16; EC (2017), 'European This section discusses the impact of uncertainty on the real economy in the euro area. The coronavirus (COVID-19) pandemic has triggered an unprecedented increase in uncertainty. Published as part of the ECB Economic Bulletin, Issue 6/2020.. 85, pages 937-958, May. Studies focusing on the euro area also find a strong and statistically significant negative relationship between macroeconomic uncertainty and investment. . Interestingly, the euro-area uncertainty index reaches its highest values just before and after the 2008â2009 recession, suggesting that agents were more uncertain about the economy as the euro area was entering and exiting the recession. PE 658.196 - November 2020 EN IN-DEPTH ANALYSIS Requested by the ECON committee Monetary Dialogue Papers, November 2020 The index is particularly useful since it can be constructed for any country/variable for which point forecasts and realizations are available. The index is constructed by text-mining country reports from the Economist Intelligence Unit. The Macroeconomic uncertainty indices for the Euro Area and its individual member countries | SpringerLink Discussion Papers. This paper introduces the Rossi and Sekhposyan (2015) uncertainty index for the Euro Area and its member countries. (1) The news component of the Economic Policy Uncertainty Index is on the horizontal axis, the weighted average of 10-year sovereign bond spreads in the vulnerable countries is on the vertical axis. The uncertainty indexes tend to be higher during recession periods. Uncertainty Shocks in a Model of Effective Demand ," Econometrica , Econometric Society, vol. The IMFâs new World Uncertainty Index (WUI) captures uncertainty related to economic and political events in the near-term and long-term, and looks back 60 years. Despite the rollback between 2012 and 2014, the run-up to the Brexit referendum and its The empirical analysis uses new country-level indicators of uncertainty for individual euro area Member States derived Authors: Christophe BLOT, Paul HUBERT , Fabien LABONDAN CE . The VSTOXX index is a market implied volatility measure for the Euro Area, similar to the Susanto Basu & Brent Bundick, 2017. " GR, IT, ES, IE and PT are the vulnerable euro area Member States. Uncertainty and Monetary Policy in the Euro Area Policy Department for Economic, Scientific and Quality of Life Policies . Prepared by Arne Gieseck and Svetlana Rujin.
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