• Published 2016

Working Paper Series No 80 / August 2018 Implications of macroeconomic volatility in the Euro area by Niko

@inproceedings{Hauzenberger2016WorkingPS,
  title={Working Paper Series No 80 / August 2018 Implications of macroeconomic volatility in the Euro area by Niko},
  author={Hauzenberger and Maximilian B{\"o}ck and Michael Pfarrhofer and Anna Stelzer and Gregor Zens},
  year={2016}
}
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic consequences jointly, and most are based on single country models. We analyze the special case of a shock restricted to the Euro… CONTINUE READING