On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach
By David Gabauer, Rangan Gupta. Economics Letters, 2018
348 citations recorded by the source corpus.
We 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.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/2b40f610984bf4bb662a281d3c0df7b7dd63b2fb
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In Economics and Econometrics
- David Gabauer
- Rangan Gupta
- Nikolaos Antonakakis
- Chao Liang
- Xiafei Li
- Yifeng Zhang
- Xuhui Zhang
- Yu Wei
Citations in the corpus
- Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020, result): “This could be an indication of regional currency contagion supporting the findings of Glick and Rose (1999). In addition, this result provides essential insights in terms of diversification and hence for portfolio and risk management.”
- Uncertainty and crude oil market volatility: new evidence (2020, background): “In addition, the monetary policy uncertainty (MPU) index proposed by Husted, Rogers, and Sun (2018) has also obtained much attention by many scholars (Berg and Mark 2018; Gabauer and Gupta 2018; Gospodinov and Jamali 2018).”
- International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression (2019, methodology): “By doing so, the TVP-VAR approach overcomes the burden of the often arbitrarily chosen rolling-window-size, that could lead to very erratic or flattened parameters, and loss of valuable observations (Antonakakis and Gabauer, 2017; Antonakakis et al., 2018; Gabauer and Gupta, 2018; Korobilis and Yilm”