Uncertainty Co-Movement in Major European CountriesReportar como inadecuado

Uncertainty Co-Movement in Major European Countries - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Therecent bouts of crises in the Europe and the US have spurred increasinginterest on the co-movement of output and stock market across the Europeancountries. The evidence of such co-movements is rooted mainly from thespillover of uncertainty among the European countries. Hence, using a newuncertainty index from Baker et al. 1,we investigate both the time-varying as well as frequency based co-movement ofuncertainty in the selected European countries. Our results suggest both timeand frequency varying co-movement of the uncertainty indices. In particular, theseco-movements are found to be more pronounced during the crises periods.


Uncertainty Spillover, Cohesion, European Countries, Wavelet

Cite this paper

Tiwari, A. , Bhanja, N. and Dar, A. 2015 Uncertainty Co-Movement in Major European Countries. Theoretical Economics Letters, 5, 256-261. doi: 10.4236-tel.2015.52030.

Autor: Aviral Kumar Tiwari1, Niyati Bhanja2, Arif Billah Dar3

Fuente: http://www.scirp.org/


Documentos relacionados