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The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions

Albert, Juan-Francisco and Gómez Fernández, Nerea (2018) The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions. . Cañada Blanch Centre for Contemporary Spanish Studies, LSE, London, UK.

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Abstract

The purpose of this research is to quantify the impact of economic uncertainty shocks in Spain by using an SVAR approach with sign restrictions with data from January 2001 to June 2018. Specifically, we analyze temporary and persistent economic uncertainty shocks. Furthermore, we isolate the uncertainty shocks whose origin is only politic to identify potential differences in the effects of the uncertainty according to its origin. Our results suggest that positive shocks to economic and political uncertainty lead to an increase in unemployment and a fall in consumer confidence, business confidence, IBEX 35 Index and industrial production. Moreover, these negative effects of uncertainty remain for a long-time horizon, especially for the case of industrial production and unemployment. According to these results, we can conclude that economic uncertainty shocks have a significant negative impact on the Spanish economy.

Item Type: Monograph (Working Paper)
Official URL: http://www.lse.ac.uk/canada-blanch
Additional Information: © 2018 The Authors
Divisions: LSE
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
H Social Sciences > HG Finance
JEL classification: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Employment, and Investment > E21 - Macroeconomics: Consumption; Saving; Aggregate Physical and Financial Consumer Wealth
E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Employment, and Investment > E22 - Capital; Investment (including Inventories); Capacity
Sets: Collections > Economists Online
Research centres and groups > Canada Blanch Centre for Contemporary Spanish Studies
Date Deposited: 10 Oct 2018 14:10
Last Modified: 30 Apr 2019 23:24
Projects: FPU16/03957, FPU16/04571
Funders: FPU, Spanish Ministry of Science, Innovation and Universities, Cañada Blanch Foundation Award
URI: http://eprints.lse.ac.uk/id/eprint/90402

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