Dynamic Connectedness of Uncertainty Across Developed Economies: A Time-Varying Approach
34 Pages Posted: 26 Nov 2018
Date Written: January 12, 2018
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: Suggested Citation