Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
By Nikolaos Antonakakis, David Gabauer, Rangan Gupta, Vasilios Plakandaras. 2018
328 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/3f8e275ff44507467a17ef1b7ad41e6d009d1a10
How researchers see this paper
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In Economics and Econometrics
- David Gabauer
- Rangan Gupta
- Nikolaos Antonakakis
- Ioannis Chatziantoniou
- George Filis
- Stavros Degiannakis *
- Elie Bouri
- O. Adekoya
Citations in the corpus
- Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020, background): “…the rather scarce literature on TVP-VAR dynamic connectedness, studies in this area have gradually started to emerge (see, inter alia, Gabauer and Gupta 2018; Antonakakis et al. 2018, 2019, 2019a, 2019b; Chatziantoniou and Gabauer 2019), signifying a rather promising area for future research.”
- 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”