Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Erdal Atukeren & Emrah İ. Çevik & Turhan Korkmaz, 2015. "Downside business confidence spillovers in Europe: evidence from causality-in-risk tests," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 18(4), pages 341-357, October.
References listed on IDEAS
- Anderton, Robert & di Mauro, Filippo & Moneta, Fabio, 2004. "Understanding the impact of the external dimension on the euro area: trade, capital flows and other international macroeconomic linkages," Occasional Paper Series 12, European Central Bank.
- Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006.
"Are European business cycles close enough to be just one?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1687-1706.
- Maximo Camacho & Gabriel Perez-Quiros, 2004. "Are European business cycles close enough to be just one?," Computing in Economics and Finance 2004 16, Society for Computational Economics.
- Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2004. "Are european business cycles close enough to be just one?," Working Papers 0408, Banco de España.
- Pérez-Quirós, Gabriel & Camacho, Máximo & ,, 2005. "Are European Business Cycles Close Enough to be Just One?," CEPR Discussion Papers 4824, C.E.P.R. Discussion Papers.
- Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011.
"Business cycle synchronization and the Euro: A wavelet analysis,"
Journal of Macroeconomics, Elsevier, vol. 33(3), pages 477-489, September.
- Luís Francisco Aguiar & Maria Joana Soares, 2010. "Business Cycle Synchronization and the Euro: a Wavelet Analysis," NIPE Working Papers 36/2010, NIPE - Universidade do Minho.
- Kappler Marcus, 2011. "Business Cycle Co-movement and Trade Intensity in the Euro Area: is there a Dynamic Link?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(2), pages 247-265, April.
- Hsiao, Cheng, 1982. "Autoregressive modeling and causal ordering of economic variables," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 243-259, November.
- Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
- Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2008.
"Do European business cycles look like one?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2165-2190, July.
- Máximo Camacho & Gabriel Pérez-Quirós & Lorena Saiz, 2005. "Do european business cycles look like one?," Working Papers 0518, Banco de España.
- Papageorgiou, Theofanis & Michaelides, Panayotis G. & Milios, John G., 2010. "Business cycles synchronization and clustering in Europe (1960-2009)," Journal of Economics and Business, Elsevier, vol. 62(5), pages 419-470, September.
- Robert Anderton & Filippo di Mauro & Fabio Moneta, 2004. "Understanding the impact of the external dimension on the euro area - trade, capital flows and other international macroeconomic linkages," Occasional Paper Series 12, European Central Bank.
- Ioanna Konstantakopoulou & Efthymios Tsionas, 2011. "The business cycle in Eurozone economies (1960 to 2009)," Applied Financial Economics, Taylor & Francis Journals, vol. 21(20), pages 1495-1513.
- Fan, Ying & Zhang, Yue-Jun & Tsai, Hsien-Tang & Wei, Yi-Ming, 2008. "Estimating 'Value at Risk' of crude oil price and its spillover effect using the GED-GARCH approach," Energy Economics, Elsevier, vol. 30(6), pages 3156-3171, November.
- Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
- Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
- Jakob De Haan & Robert Inklaar & Richard Jong‐A‐Pin, 2008.
"Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, April.
- Haan, Jakob de & Inklaar, Robert & Jong-A-Pin, Richard, 2005. "Will business cycles in the Euro Area converge : a critical survey of empirical research," CCSO Working Papers 200508, University of Groningen, CCSO Centre for Economic Research.
- Chamley Christophe P & Pinto Brian, 2011. "Why Official Bailouts Tend Not To Work: An Example Motivated by Greece 2010," The Economists' Voice, De Gruyter, vol. 8(1), pages 1-5, February.
- Liu, Xiangli & Cheng, Siwei & Wang, Shouyang & Hong, Yongmiao & Li, Yi, 2008. "An empirical study on information spillover effects between the Chinese copper futures market and spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(4), pages 899-914.
- Sofia Gouveia & Leonida Correia, 2008. "Business cycle synchronisation in the Euro area: the case of small countries," International Economics and Economic Policy, Springer, vol. 5(1), pages 103-121, July.
- Bali, Turan G., 2000. "Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(2), pages 191-215, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ansgar Belke & Clemens Domnick & Daniel Gros, 2017.
"Business Cycle Synchronization in the EMU: Core vs. Periphery,"
Open Economies Review, Springer, vol. 28(5), pages 863-892, November.
- Belke, Ansgar & Domnick, Clemens & Gros, Daniel, 2016. "Business cycle synchronization in the EMU: Core vs. periphery," Ruhr Economic Papers 659, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Belke, Ansgar & Domnick, Clemens & Gros, Daniel, 2017. "Business Cycle Synchronization in the EMU: Core vs. Periphery," GLO Discussion Paper Series 38, Global Labor Organization (GLO).
- Ansgar Belke & Clemens Domnick & Daniel Gros, 2016. "Business cycle synchronization in the EMU: Core vs. periphery," ROME Working Papers 201608, ROME Network.
- Emrah Ismail Cevik & Sel Dibooglu & Atif Awad Abdallah & Eisa Abdulrahman Al-Eisa, 2021. "Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia," International Economics and Economic Policy, Springer, vol. 18(1), pages 157-175, February.
- Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021.
"Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions,"
International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
- Gang-Jin Wang & Yang-Yang Chen & Hui-Bin Si & Chi Xie & Julien Chevallier, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," Post-Print halshs-04250264, HAL.
- Ahlborn, Markus & Wortmann, Marcus, 2018. "The core‒periphery pattern of European business cycles: A fuzzy clustering approach," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 12-27.
- Jose Manuel Caetano & Antonio Bento Caleiro, 2018. "On Business Cycles Synchronization: Some Directions For The Eurasia," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 6(3), pages 13-33.
- Bekiros Stelios & Nguyen Duc Khuong & Uddin Gazi Salah & Sjö Bo, 2015.
"Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the Euro area,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 609-624, December.
- Stelios Bekiros & Duc Khuong Nguyen & Gazi Salah Uddin & Bo Sjö, 2014. "Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area," Working Papers 2014-437, Department of Research, Ipag Business School.
- Agnieszka Gehringer & Jörg König, 2021. "Recent Patterns of Economic Alignment in the European (Monetary) Union," JRFM, MDPI, vol. 14(8), pages 1-23, August.
- Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
- Eduardo Bandrés & María Dolores Gadea-Rivas & Ana Gómez-Loscos, 2017. "Regional business cycles across europe," Occasional Papers 1702, Banco de España.
- Luís Aguiar-Conraria & Teresa Maria Rodrigues & Maria Joana Soares, 2014.
"Oil Shocks and the Euro as an Optimum Currency Area,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Marco Gallegati & Willi Semmler (ed.), Wavelet Applications in Economics and Finance, edition 127, pages 143-156,
Springer.
- Luís Francisco Aguiar & Teresa Maria Rodrigues & Maria Joana Soares, 2012. "Oil Shocks and the Euro as an Optimum Currency Area," NIPE Working Papers 07/2012, NIPE - Universidade do Minho.
- Luís Francisco Aguiar-Conraria & Teresa Maria Rodrigues & Maria Joana Soares, 2013. "Oil Shocks and the Euro as an Optimum Currency Area," NIPE Working Papers 01/2013, NIPE - Universidade do Minho.
- Jose Ramon Cancelo, 2012. "Cyclical synchronization in the EMU along the financial crisis: An interpretation of the conflicting signals," European Journal of Government and Economics, Europa Grande, vol. 1(1), pages 86-100, June.
- Rémi Odry & Roman Mestre, 2021.
"Monetary Policy and Business Cycle Synchronization in Europe,"
Working Papers
hal-04159759, HAL.
- Rémi Odry & Roman Mestre, 2021. "Monetary Policy and Business Cycle Synchronization in Europe," EconomiX Working Papers 2021-19, University of Paris Nanterre, EconomiX.
- Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018. "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers 2018-01, The University of Winnipeg, Department of Economics.
- Sabrina Bunyan & David Duffy & George Filis & Ishmael Tingbani, 2020. "Fiscal policy, government size and EMU business cycle synchronization," Scottish Journal of Political Economy, Scottish Economic Society, vol. 67(2), pages 201-222, May.
- Jian, Zhihong & Zhu, Zhican & Zhou, Jie & Wu, Shuai, 2020. "Intraday price jumps, market liquidity, and the magnet effect of circuit breakers," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 168-186.
- Kapounek, Svatopluk & Kučerová, Zuzana, 2019.
"Historical decoupling in the EU: Evidence from time-frequency analysis,"
International Review of Economics & Finance, Elsevier, vol. 60(C), pages 265-280.
- Svatopluk Kapounek & Zuzana Kucerova, 2018. "Historical Decoupling in the EU: Evidence from Time-Frequency Analysis," MENDELU Working Papers in Business and Economics 2018-75, Mendel University in Brno, Faculty of Business and Economics.
- Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
- repec:wyi:journl:002098 is not listed on IDEAS
- Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 34(95), pages 73-84, Agosto.
- Sabrina Bunyan & David Duffy & George Filis & Ishmael Tingbani, 2018. "Bilateral business cycle synchronisation in the EMU: What is the role of fiscal policy and government size?," Working Papers 2018.02, International Network for Economic Research - INFER.
- Dias, José G. & Ramos, Sofia B., 2013. "A core–periphery framework in stock markets of the euro zone," Economic Modelling, Elsevier, vol. 35(C), pages 320-329.
More about this item
Keywords
European economy; Business confidence; Downside risk; Granger-causality;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:76038. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.