TITLE:
Uncertainty Co-Movement in Major European Countries
AUTHORS:
Aviral Kumar Tiwari, Niyati Bhanja, Arif Billah Dar
KEYWORDS:
Uncertainty Spillover, Cohesion, European Countries, Wavelet
JOURNAL NAME:
Theoretical Economics Letters,
Vol.5 No.2,
April
15,
2015
ABSTRACT: The
recent bouts of crises in the Europe and the US have spurred increasing
interest on the co-movement of output and stock market across the European
countries. The evidence of such co-movements is rooted mainly from the
spillover of uncertainty among the European countries. Hence, using a new
uncertainty index from Baker et al. [1],
we investigate both the time-varying as well as frequency based co-movement of
uncertainty in the selected European countries. Our results suggest both time
and frequency varying co-movement of the uncertainty indices. In particular, these
co-movements are found to be more pronounced during the crises periods.