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Estimating uncertainty spillover effects across euro area using a regime dependent VAR model
Studies in Nonlinear Dynamics & Econometrics
This paper investigates macroeconomic uncertainty spillover effects across countries and their impact on real economic activity in different economic periods, i.e. pre-crisis and during the recent financial crisis. The analysis is initially carried out using Monte Carlo simulations and, subsequently, real data for four euro zone economies, namely Italy, France, Germany, and Spain. The Monte Carlo findings clearly indicate a need to account for spillover effects across countries whendoi:10.1515/snde-2021-0107 fatcat:j5nwpxzsmbbbfoljoloq4tkdke