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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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    References listed on IDEAS

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    1. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2017. "Economic Policy Uncertainty Spillovers in Booms and Busts," Melbourne Institute Working Paper Series wp2017n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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    1. repec:eee:ecolet:v:173:y:2018:i:c:p:131-134 is not listed on IDEAS
    2. repec:eee:ecolet:v:171:y:2018:i:c:p:123-127 is not listed on IDEAS
    3. Yanele Nyamela & Vasilios Plakandaras & Rangan Gupta, 2018. "Frequency-Dependent Real-Time Effects of Uncertainty in the United States: Evidence from Daily Data," Working Papers 201833, University of Pretoria, Department of Economics.
    4. Śmiech, Sławomir & Papież, Monika, 2018. "Volatility spillovers among uncertainty measures. The case of EU member states," MPRA Paper 90319, University Library of Munich, Germany.
    5. repec:eee:ecolet:v:171:y:2018:i:c:p:63-71 is not listed on IDEAS
    6. Gabauer, David & Gupta, Rangan, 2018. "On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach," Economics Letters, Elsevier, vol. 171(C), pages 63-71.

    More about this item

    Keywords

    Economic policy uncertainty; Time-varying model; Connectedness index;

    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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