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US Economic Uncertainty, EU Business Cycles and the Global Financial Crisis

Syed Hassan (), Sarosh Shabi () and Taufiq Choudhry
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Taufiq Choudhry: School of Business, University of Southampton

No 2018-05, Working Papers from Swansea University, School of Management

Abstract: This paper investigates the impact of the US economic uncertainty on the business cycles (changes in the industrial production) of twelve European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and nonlinear causality tests, impulse response function and variance decomposition. Results show ample evidence of causality from the US uncertainty to EU business cycles only when the crisis period is included in the analysis. Both the linear and non-linear tests confirm the significance of US uncertainty as a short-term predictor of business cycles of the EU.

Keywords: Business cycles; Jurado index; uncertainty; nonlinear causality. (search for similar items in EconPapers)
JEL-codes: E3 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2018-02-01
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