Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests
Emrah Çevik () and
MPRA Paper from University Library of Munich, Germany
This paper employs Hong et al.’s (2009) extreme risk spillovers test to investigate the bilateral business confidence spillovers between Greece, Italy, Spain, Portugal, France, and Germany. After controlling for domestic economic developments in each country and common international factors, downside risk spillovers are detected as a causal feedback between Spain and Portugal and unilaterally from Spain to Italy. Extremely low business sentiments in France, Germany, and Greece are mostly due to the common adverse economic environment and to each country’s own domestic economic developments.
Keywords: European economy; Business confidence; Downside risk; Granger-causality (search for similar items in EconPapers)
JEL-codes: C1 C12 (search for similar items in EconPapers)
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Published in Journal of Economic Policy Reform 4.18(2015): pp. 341-357
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Journal Article: Downside business confidence spillovers in Europe: evidence from causality-in-risk tests (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:76038
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