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

Nikos Antonakakis, David Gabauer, Rangan Gupta, Vasilios Plakandaras

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    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.
    Original languageEnglish
    Pages (from-to)63-75
    Number of pages13
    JournalEconomics Letters
    Volume166
    Early online date2 Mar 2018
    DOIs
    Publication statusPublished - 1 May 2018

    Keywords

    • economic policy uncertainty
    • time-varying model
    • connectedness index

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