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Title: Economic policy uncertainty spillovers in Europe and Greece Authors:  Paraskevi Tzika - University of Macedonia (Greece) [presenting]
Stylianos Fountas - University of Macedonia (Greece)
Abstract: Given the increasing uncertainty surrounding the European economies after the Eurozone crisis, an attempt is made to shed light on the spillovers of economic policy uncertainty among the European countries and the effects this uncertainty has on the Greek economy. At first, in order to identify and measure the spillovers of policy uncertainty in the Eurozone, a spillover index is constructed, based on a VAR model, for 7 Eurozone countries (from January 1998 until June 2019). The results show that the total connectedness among these countries' uncertainty is almost 50\%. Moreover, France, Italy, Spain and the Netherlands are uncertainty exporters, while Greece, Germany and Ireland are uncertainty importers. Secondly, the case of Greece is investigated by constructing a VAR model and the respective generalized impulse response functions. The results indicate that both Greek and European uncertainty increase unemployment, while they reduce output and the Greek stock market index during the recent crisis period. For the pre-crisis period, the Greek economy seems to be affected more by the European uncertainty. Finally, there is positive interdependence between Greek and European policy uncertainty.