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US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis

Author

Listed:
  • Syed Hassan

    (School of Management, Swansea University)

  • Sarosh Shabi

    (School of Management, Swansea University)

  • Taufiq Choudhry

    (School of Business, University of Southampton)

Abstract

This paper investigates the impact of the US economic uncertainty on the business cycles (changes in the industrial production) of twelve European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and nonlinear causality tests, impulse response function and variance decomposition. Results show ample evidence of causality from the US uncertainty to EU business cycles only when the crisis period is included in the analysis. Both the linear and non-linear tests confirm the significance of US uncertainty as a short-term predictor of business cycles of the EU.

Suggested Citation

  • Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018. "US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis," Working Papers 2018-05, Swansea University, School of Management.
    • Handle: RePEc:swn:wpaper:2018-05
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    File URL: https://rahwebdav.swan.ac.uk/repec/pdf/WP2018-05.pdf
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    More about this item

    Keywords

    Business cycles; Jurado index; uncertainty; nonlinear causality.;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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