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Dynamic connectedness of uncertainty across developed economies: A time-varying approach

Author

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  • Antonakakis, Nikolaos
  • Gabauer, David
  • Gupta, Rangan
  • Plakandaras, Vasilios

Abstract

Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of uncertainty between developed economies, examining potential spillover effects between the U.S., the E.U., the U.K, Japan and Canada. Within a time-varying framework our empirical results indicate of a significant spillover of uncertainty from the E.U. to the U.S.

Suggested Citation

  • Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan & Plakandaras, Vasilios, 2018. "Dynamic connectedness of uncertainty across developed economies: A time-varying approach," Economics Letters, Elsevier, vol. 166(C), pages 63-75.
    • Handle: RePEc:eee:ecolet:v:166:y:2018:i:c:p:63-75
    DOI: 10.1016/j.econlet.2018.02.011
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    More about this item

    Keywords

    Economic policy uncertainty; Time-varying model; Connectedness index;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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