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Spillovers of the US real and financial uncertainty on the Euro area

Bakkar, Yassine; Nilavongse, Rachatar; Saha, Anup Kumar


Yassine Bakkar

Rachatar Nilavongse


We study the spillovers of US real uncertainty and financial uncertainty shocks on Euro area economic activity in an SVAR framework. We find that a rise in US real or financial uncertainty triggers a decline in industrial production and an increase in credit spreads in the Euro area. The adverse effects of financial uncertainty shocks on Euro area industrial production are larger than those stemming from real uncertainty shocks (−0.8% versus −0.4%) due to a larger extent of financial friction. The contribution of US financial uncertainty shocks, vis-à-vis US real uncertainty shocks, to the Euro area is quantitatively more important.


Bakkar, Y., Nilavongse, R., & Saha, A. K. (2021). Spillovers of the US real and financial uncertainty on the Euro area. Applied Economics Letters, 28(15), 1249-1258.

Journal Article Type Article
Online Publication Date Aug 19, 2020
Publication Date Sep 2, 2021
Deposit Date Jun 2, 2023
Journal Applied Economics Letters
Print ISSN 1350-4851
Electronic ISSN 1466-4291
Publisher Routledge
Peer Reviewed Peer Reviewed
Volume 28
Issue 15
Pages 1249-1258
Keywords Economics and Econometrics
Additional Information Peer Review Statement: The publishing and review policy for this title is described in its Aims & Scope.; Aim & Scope:; Published: 2020-08-19