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Regular version of the site

Article

Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis ofSelected European Countries

Comparative Economic Studies. 2018. Vol. 60. No. 3. P. 332-360.
Столбов М. И., Karminsky A. M., Shchepeleva M.

We study the relationship between economic policy uncertainty and sys-

temic risk for nine European countries in January 2010–September 2016 by apply-

ing conventional Granger causality tests and advanced techniques (wavelet analy-

sis and Bayesian VARs). The country-level analyses show that the lead-lag patterns

vary considerably in the short and longer run as well as at different frequencies.

Nonetheless, the pivotal role of uncertainty tends to strengthen over longer time

horizons (at lower frequencies) and in the BVAR framework. This is true for finan-

cially fragile economies such as Ireland, Italy, Russia, Spain. A panel BVAR model

confirms this finding for the whole sample.