On the transmission mechanism of country-specific and international economic uncertainty spillovers : evidence from a TVP-VAR connectedness decomposition approach

dc.contributor.authorGabauer, David
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2018-08-02T08:34:45Z
dc.date.issued2018-10
dc.description.abstractWe investigate the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the TVP-VAR connectedness approach of Antonakakis and Gabauer (2017). The decomposition of our approach gives us insights about the dynamics with and without international spillovers which has essential policy implications. Our results suggest that monetary policy uncertainty is the main driver, followed by uncertainties associated with fiscal, currency market and trade policies. Furthermore, we find that the Fukushima Daiichi accident can be interpreted as a negative trade shock that spread internationally.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2019-10-01
dc.description.librarianhj2018en_ZA
dc.description.urihttp://www.elsevier.com/locate/ecoleten_ZA
dc.identifier.citationGabauer, D. & Gupta, R. 2018, 'On the transmission mechanism of country-specific and international economic uncertainty spillovers : evidence from a TVP-VAR connectedness decomposition approach', 'Economics Letters, vol. 171, pp. 63-71.en_ZA
dc.identifier.issn0165-1765 (print)
dc.identifier.issn1873-7374 (online)
dc.identifier.other10.1016/j.econlet.2018.07.007
dc.identifier.urihttp://hdl.handle.net/2263/66059
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Economics Letters, vol. 171, pp. 63-71, 2018. doi : 10.1016/j.econlet.2018.07.007.en_ZA
dc.subjectSpillover decompositionen_ZA
dc.subjectDynamic connectednessen_ZA
dc.subjectTVP-VARen_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.titleOn the transmission mechanism of country-specific and international economic uncertainty spillovers : evidence from a TVP-VAR connectedness decomposition approachen_ZA
dc.typePostprint Articleen_ZA

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