Dynamic connectedness of uncertainty across developed economies: A time-varying approach
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DOI: 10.1016/j.econlet.2018.02.011
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- Nikolaos Antonakakis & David Gabauer & Rangan Gupta & Vasilios Plakandaras, 2018. "Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach," Working Papers 201802, University of Pretoria, Department of Economics.
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- repec:eee:ecolet:v:173:y:2018:i:c:p:131-134 is not listed on IDEAS
- repec:eee:ecolet:v:171:y:2018:i:c:p:123-127 is not listed on IDEAS
- 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.
- Śmiech, Sławomir & Papież, Monika, 2018. "Volatility spillovers among uncertainty measures. The case of EU member states," MPRA Paper 90319, University Library of Munich, Germany.
- repec:eee:ecolet:v:171:y:2018:i:c:p:63-71 is not listed on IDEAS
- 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.
- David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Country-Specific and International Economic Uncertainty Spillovers: Evidence from a TVP-VAR Connectedness Decomposition Approach," Working Papers 201829, University of Pretoria, Department of Economics.
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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