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Dynamic connectedness of uncertainty across developed economies: A time-varying approach

Nikolaos Antonakakis, David Gabauer, Rangan Gupta () and Vasilios Plakandaras ()

Economics Letters, 2018, vol. 166, issue C, 63-75

Abstract: 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)
Date: 2018
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Related works:
Working Paper: Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach (2018)
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