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Spillover among financial, industrial and consumer uncertainties. The case of EU member states

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  • Śmiech, Sławomir
  • Papież, Monika
  • Shahzad, Syed Jawad Hussain

Abstract

We examine connectedness among three types of uncertainties, financial, consumer and industrial uncertainties, in EU member states. The monthly series span the period January 2005 to March 2018, which includes the global financial crisis and the European sovereign debt crisis. The time and frequency spillover approaches based on generalized forecast error variance decomposition are used. We propose decomposing the connectedness tables into symmetric and skew-symmetric parts, for a better and more comprehensive interpretation. The results show that spillover among uncertainties is higher during crises. More spillover is observed within a specific type of uncertainty. The pairs of countries that transmit uncertainty to one another are geographically related, i.e. neighbouring countries. Financial uncertainty is a net transmitter to both industrial and consumer uncertainties.

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  • Śmiech, Sławomir & Papież, Monika & Shahzad, Syed Jawad Hussain, 2020. "Spillover among financial, industrial and consumer uncertainties. The case of EU member states," International Review of Financial Analysis, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301411
    DOI: 10.1016/j.irfa.2020.101497
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