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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.

KEYWORDS

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/



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