ABSTRACT
In this article, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county-level examination. In performing a series of linear and nonlinear causality tests, we find little evidence of a causal relationship between uncertainty and macroeconomic variables. Thus, macroeconomic analysis based on uncertainty indices should be treated with caution.
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 All tests evaluate the null hypothesis that no causal relationship exists between the variables under examination.