Replication package for "Common and Country-Specific Uncertainty Shocks in Europe: Why Their Nature Matters for Policy"

This replication package contains the data and the code for the decomposition of the Economic Policy Uncertainty index (EPU) on the common and country-specific components using the dynamic connectedness (EPU_disaggregation), and for estimation of the effects of shocks into both components on economic activity, inflation and monetary policy setting (PVAR). The estimates of shocks are conducted using panel VAR identified with zero and sign restrictions. We show that only synchronized uncertainty shocks significantly affect Europe’s macroeconomy, while purely national shocks have limited impact.