Antonakakis, NikolaosGabauer, DavidGupta, RanganPlakandaras, Vasilios2018-04-262018-05Antonakakis, N., Gabauer, D., Gupta, R. & Plakandaras, V. 2018, 'Dynamic connectedness of uncertainty across developed economies: A time-varying approach', Economics Letters, vol. 166, pp. 63-75.0165-1765 (print)1873-7374 (online)10.1016/j.econlet.2018.02.011http://hdl.handle.net/2263/64740Economic 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© 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.Connectedness indexTime-varying modelEconomic policy uncertainty (EPU)European Union (EU)United States (US)SpilloversPolicy uncertaintyMultivariate modelsImpulse-response analysisUnited Kingdom (UK)JapanCanadaPostprint Article