Are Uncertainties across the World Convergent?
Christina Christou (),
Giray Gözgör (),
Rangan Gupta () and
Chi Keung Lau
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Christina Christou: Open University of Cyprus
Economics Bulletin, 2020, vol. 40, issue 1, 855-862
We analyze the convergence of a news-based measure of uncertainty across 143 countries (spanning 99 percent of world GDP) over the quarterly period of 1996Q1 to 2018Q3. We apply a panel data-based unit root test, which controls 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 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; panel data; nonlinear unit root test (search for similar items in EconPapers)
JEL-codes: D8 O5 (search for similar items in EconPapers)
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Working Paper: Are Uncertainties across the World Convergent? (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-19-00608
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