Comparative Economic Studies

, Volume 60, Issue 3, pp 332–360 | Cite as

Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries

  • Mikhail Stolbov
  • Alexander Karminsky
  • Maria Shchepeleva


We study the relationship between economic policy uncertainty and systemic risk for nine European countries in January 2010–September 2016 by applying conventional Granger causality tests and advanced techniques (wavelet analysis and Bayesian VARs). The country-level analyses show that the lead-lag patterns vary considerably in the short and longer run as well as at different frequencies. Nonetheless, the pivotal role of uncertainty tends to strengthen over longer time horizons (at lower frequencies) and in the BVAR framework. This is true for financially fragile economies such as Ireland, Italy, Russia, Spain. A panel BVAR model confirms this finding for the whole sample.


Bayesian VAR Dynamic factor model Economic policy uncertainty Systemic risk Wavelet coherence 

JEL Classification

C32 C38 G32 



The paper was presented at the Second World Congress of Comparative Economics, “Revolution and Evolution in Economic Development,” in St. Petersburg, Russia, June 15–17, 2017. Comments by two anonymous referees have been welcome. We are also grateful to Paul Wachtel for his support and patience.

Supplementary material

41294_2018_65_MOESM1_ESM.doc (796 kb)
Supplementary material 1 (DOC 795 kb)


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Copyright information

© Association for Comparative Economic Studies 2018

Authors and Affiliations

  • Mikhail Stolbov
    • 1
  • Alexander Karminsky
    • 2
  • Maria Shchepeleva
    • 2
  1. 1.Moscow State Institute of International RelationsMoscowRussia
  2. 2.National Research University Higher School of EconomicsMoscowRussia

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