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

34 Pages Posted: 26 Nov 2018

See all articles by David Gabauer

David Gabauer

Johannes Kepler University; Webster University - Webster Vienna Private University

Vasilios Plakandaras

Democritus University of Thrace

Rangan Gupta

University of Pretoria - Department of Economics

Nikolaos Antonakakis

Vienna University of Economics and Business

Date Written: January 12, 2018

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

JEL Classification: D80, E32, F42

Suggested Citation

Gabauer, David and Plakandaras, Vasilios and Gupta, Rangan and Antonakakis, Nikolaos, Dynamic Connectedness of Uncertainty Across Developed Economies: A Time-Varying Approach (January 12, 2018). Economics Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3275914 or http://dx.doi.org/10.2139/ssrn.3275914

David Gabauer

Johannes Kepler University ( email )

Altenbergerstra├če 69
Linz, 4040
Austria

Webster University - Webster Vienna Private University ( email )

Praterstra├če 23
Vienna, Vienna 1020
Austria

Vasilios Plakandaras (Contact Author)

Democritus University of Thrace ( email )

University Campus
Komotini, 69100
Greece

Rangan Gupta

University of Pretoria - Department of Economics ( email )

Lynnwood Road
Hillcrest
Pretoria, 0002
South Africa

Nikolaos Antonakakis

Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, Wien 1020
Austria

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