Dynamic connectedness of uncertainty across developed economies : a time-varying approach
| dc.contributor.author | Antonakakis, Nikolaos | |
| dc.contributor.author | Gabauer, David | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Plakandaras, Vasilios | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2018-04-26T11:14:01Z | |
| dc.date.issued | 2018-05 | |
| dc.description.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 developed economies, examining potential spillover effects 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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2019-05-01 | |
| dc.description.librarian | hj2018 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ecolet | en_ZA |
| dc.identifier.citation | Antonakakis, N., Gabauer, D., Gupta, R. & Plakandaras, V. 2018, 'Dynamic connectedness of uncertainty across developed economies: A time-varying approach', Economics Letters, vol. 166, pp. 63-75. | en_ZA |
| dc.identifier.issn | 0165-1765 (print) | |
| dc.identifier.issn | 1873-7374 (online) | |
| dc.identifier.other | 10.1016/j.econlet.2018.02.011 | |
| dc.identifier.uri | http://hdl.handle.net/2263/64740 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_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. 166, pp. 63-75, 2018. doi : 10.1016/j.econlet.2018.02.011. | en_ZA |
| dc.subject | Connectedness index | en_ZA |
| dc.subject | Time-varying model | en_ZA |
| dc.subject | Economic policy uncertainty (EPU) | en_ZA |
| dc.subject | European Union (EU) | en_ZA |
| dc.subject | United States (US) | en_ZA |
| dc.subject | Spillovers | en_ZA |
| dc.subject | Policy uncertainty | en_ZA |
| dc.subject | Multivariate models | en_ZA |
| dc.subject | Impulse-response analysis | en_ZA |
| dc.subject | United Kingdom (UK) | en_ZA |
| dc.subject | Japan | en_ZA |
| dc.subject | Canada | en_ZA |
| dc.title | Dynamic connectedness of uncertainty across developed economies : a time-varying approach | en_ZA |
| dc.type | Postprint Article | en_ZA |