Dynamic connectedness of uncertainty across developed economies: A time-varying approach
Rangan Gupta () and
Vasilios Plakandaras ()
Economics Letters, 2018, vol. 166, issue C, 63-75
Economic uncertainty has attracted a significant part of the modern research in economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of uncertainty between developed economies, examining potential spillover effects between the U.S., the E.U., the U.K, Japan and Canada. Within a time-varying framework our empirical results indicate of a significant spillover of uncertainty from the E.U. to the U.S.
Keywords: Economic policy uncertainty; Time-varying model; Connectedness index (search for similar items in EconPapers)
JEL-codes: D80 E32 F42 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:166:y:2018:i:c:p:63-75
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().