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Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach

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

No 201802, Working Papers from University of Pretoria, Department of Economics

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 economies, examining potential spillover effect 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)
New Economics Papers: this item is included in nep-mac
Date: 2018-01
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Journal Article: Dynamic connectedness of uncertainty across developed economies: A time-varying approach (2018) Downloads
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