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Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests

Author

Listed:
  • Atukeren, Erdal
  • Cevik, Emrah Ismail
  • Korkmaz, Turhan

Abstract

This paper employs Hong et al.’s (2009) extreme risk spillovers test to investigate the bilateral business confidence spillovers between Greece, Italy, Spain, Portugal, France, and Germany. After controlling for domestic economic developments in each country and common international factors, downside risk spillovers are detected as a causal feedback between Spain and Portugal and unilaterally from Spain to Italy. Extremely low business sentiments in France, Germany, and Greece are mostly due to the common adverse economic environment and to each country’s own domestic economic developments.

Suggested Citation

  • Atukeren, Erdal & Cevik, Emrah Ismail & Korkmaz, Turhan, 2015. "Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests," MPRA Paper 76038, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:76038
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    File URL: https://mpra.ub.uni-muenchen.de/76038/2/MPRA_paper_76038.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    European economy; Business confidence; Downside risk; Granger-causality;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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