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

Author

Listed:
  • Nikolaos Antonakakis

    (Department of Business and Management, Webster Vienna Private University, Vienna, Austria)

  • David Gabauer

    (Department of Business and Management, Webster Vienna Private University, Vienna, Austria)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

  • Vasilios Plakandaras

    (Department of Economics, Democritus University of Thrace, Komotini, Greece)

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.

Suggested Citation

  • Nikolaos Antonakakis & David Gabauer & Rangan Gupta & Vasilios Plakandaras, 2018. "Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach," Working Papers 201802, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201802
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Economic policy uncertainty; time-varying model; connectedness index;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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