Mardi | 2014-03-04
salle des thèses

Oscar BERNAL – Jean-Yves GNABO – Grégory GUILMIN

This paper contributes to the Eurozone debt-crisis literature by analyzing the role of economic policy uncertainty (EPU) on risk spillovers. Our two-step estimation procedure rst applies the CoV aR approach developed in Adrian and Brunnermeier (2011) on data over 10 EMU countries between Q4/2008 and Q2/2013 to estimate the extent to which distress within one country a ects risk at the Eurozone level. Second the CoV aR – our risk spillover measure – is regressed on EPU indices proposed by Baker et al. (2013). Our empirical results reveal that EPU, especially in Germany and Spain, plays a major role in the transmission of risk.