EconPapers    
Economics at your fingertips  
 

Spillover of sentiment in the European Union: Evidence from time- and frequency-domains

Vasilios Plakandaras (), Aviral Tiwari (), Rangan Gupta () and Qiang Ji

International Review of Economics & Finance, 2020, vol. 68, issue C, 105-130

Abstract: The issue of economic integration of the economies consisting the European Union across its various leaps of expansion throughout the years has been brought back to light during the recent sovereign crisis of the southern economies of the Union, that lead to the necessity of large bailout programs. In this paper we depart from the typical approach in the field and examine economic synchronization through the lenses of economic sentiment spillovers based on the economic confidence index for 14 European economies. In doing so, we analyze sentiment spillovers both in time- and in the frequency-domains in order to reveal the dissemination of the perception of economic agents about the future economic climate throughout the EU. Our empirical findings support the segregation of the Union in the core European countries and the southern economies and highlight the role of the Germany as the dominant economy setting the pace for the Union after 2008. Interestingly, large economies as Netherlands and Austria appear to be neutral, not because of an isolation from the region, but due to changing roles in transmitting and accepting expectations about the economic environment.

Keywords: Sentiment; Spillover; Time- and frequency-domains; European Union (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056020300666
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Spillover of Sentiment in the European Union: Evidence from Time- and Frequency-Domains (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:68:y:2020:i:c:p:105-130

DOI: 10.1016/j.iref.2020.03.014

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2021-01-08
Handle: RePEc:eee:reveco:v:68:y:2020:i:c:p:105-130