The Economic Impact of Uncertainty on France, Germany and the United Kingdom


Master's Thesis, 2020

63 Pages, Grade: 1,3


Abstract or Introduction

This work deals with the economic impact of uncertainty on macroeconomically important variables in three countries: France, Germany and the United Kingdom. First, the econometric bases are derived, starting with a univariate case. With the introduction of the vector autoregressive model, time series of variables are included, which all depend on and influence each other. Subsequently, the individual preparations, such as Cholesky decomposition, are made to derive the innovations that flow into the system.

After the data and variables to be considered for the model have been described in detail, stationarity tests must be carried out to enable consistent estimates to be made later. For this it is necessary to perform additional transformations. Finally, the VAR model is estimated and the results can be visualized and interpreted. It is shown that short-term shocks in uncertainty have different impacts on the variables under consideration. In addition, country-specific responses can be identified in the course of the Impulse Response Functions, differing in terms of amplitude, direction, behavior and persistence. With the help of Forecast Error Variance Decompositions, interdependencies between variables can be identified and possibly put into a logical, functional context.

Details

Title
The Economic Impact of Uncertainty on France, Germany and the United Kingdom
College
University of Trier
Grade
1,3
Author
Year
2020
Pages
63
Catalog Number
V538403
ISBN (eBook)
9783346132598
ISBN (Book)
9783346132604
Language
English
Tags
World Uncertainty, Uncertainty, Vectorautoregressive Model, VAR Model, France, Germany, United Kingdom, Impact, Production, Inflation, Interest Rate, Shadow Rate, Perceived Uncertainty, Global Economic Policy Uncertainty, GEPU Index, Impulse Response Function, IRF, Forecast Error Variance Decomposition, FEVD, Cholesky Decomposition, Ljung-Box-Test, Augmented Dickey Fuller Test, ADF-Test, Econometrics, Economics, Granger Causality, Multivariate
Quote paper
Jens Biewer (Author), 2020, The Economic Impact of Uncertainty on France, Germany and the United Kingdom, Munich, GRIN Verlag, https://www.grin.com/document/538403

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