Are Uncertainties across the World Convergent?

Christina Christou (christina.christou@ouc.ac.cy), Giray Gözgör, Rangan Gupta and Chi Keung Lau
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Christina Christou: School of Economics and Management, Open University of Cyprus, 2252, Latsia, Cyprus

No 201907, Working Papers from University of Pretoria, Department of Economics

Abstract: We analyse the convergence of a news-based measure of uncertainty across 143 countries (spanning 99 percent of world GDP) over the quarterly period of 1996:01 to 2018:03. We apply a panel data-based unit root test, which controls for both nonlinearity and cross-sectional dependence, to the ratio of the uncertainty of individual countries relative to that of global uncertainty. We find overwhelming evidence of stationarity in 141 of the cross-sectional units, leading to a rejection of the null of a unit root for the entire panel. Our results provide strong evidence of convergence and hence, the spillover of uncertainty spillover across the economies of the world. Given this, policymakers need to be alert all the time to counteract the negative impact on the domestic economy in the wake of uncertainty increases around the world.

Keywords: uncertainty; economic policy; convergence; nonlinear panel data unit root test (search for similar items in EconPapers)
JEL-codes: C21 D80 O47 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2019-01
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (5)

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Journal Article: Are Uncertainties across the World Convergent? (2020)
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