Uncertainty Co-Movement in Major European Countries
Affiliation(s)
1 Faculty of Management, IBS Hyderabad, A Constituent of IFHE (Deemed to Be) University, Hyderabad, India. 2 Department of Economics and International Business, University of Petroleum and Energy Studies, Uttarakhand, India. 3 Department of Economic Environment and Strategy, Institute of Management and Technology, Uttar Pradesh, India.
1 Faculty of Management, IBS Hyderabad, A Constituent of IFHE (Deemed to Be) University, Hyderabad, India. 2 Department of Economics and International Business, University of Petroleum and Energy Studies, Uttarakhand, India. 3 Department of Economic Environment and Strategy, Institute of Management and Technology, Uttar Pradesh, India.
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.
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.
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.
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.
References
[1] Baker, S., Bloom, N. and Davis, S. (2013) Measuring Economic Policy Uncertainty. Working Paper, Stanford University, Stanford. [2] Rua, A. (2010) Measuring Co-Movement in the Time-Frequency Space. Journal of Macroeconomics, 32, 685-691. http://dx.doi.org/10.1016/j.jmacro.2009.12.005 [3] Neely, C.J. and Rapach, D.E. (2008) International Co-Movements in Inflation Rates and Country Characteristics. Working Paper 2008-025F, Federal Reserve Bank of St. Louis Research Division, St. Louis. [4] Kiviaho, J., Nikkinen, J., Piljak, V. and Rothovius, T. (2012) The Co-Movement Dynamics of European Frontier Stock Markets. European Financial Management, 20, 574-595. http://dx.doi.org/10.1111/j.1468-036X.2012.00646.x [5] Rua, A. and Nunes, L. (2009) International Co-Movement of Stock Market Returns: A Wavelet Analysis. Journal of Empirical Finance, 16, 632-639. http://dx.doi.org/10.1016/j.jempfin.2009.02.002 [6] Madaleno, M. and Pinho, C. (2012) International Stock Market Indices Co-Movements: A New Look. International Journal of Finance and Economics, 17, 89-102. http://dx.doi.org/10.1002/ijfe.448 [7] Percival, D.B. and Walden, A.T. (2000) Wavelet Methods for Time Series Analysis. Cambridge Press, Cambridge. http://dx.doi.org/10.1017/CBO9780511841040 [8] Croux, C., Forni, M. and Reichlin, L. (2001) A Measure of Co-Movement for Economic Variables: Theory and Empirics. Review of Economics and Statistics, 83, 232-241. http://dx.doi.org/10.1162/00346530151143770
[1] Baker, S., Bloom, N. and Davis, S. (2013) Measuring Economic Policy Uncertainty. Working Paper, Stanford University, Stanford. [2] Rua, A. (2010) Measuring Co-Movement in the Time-Frequency Space. Journal of Macroeconomics, 32, 685-691. http://dx.doi.org/10.1016/j.jmacro.2009.12.005 [3] Neely, C.J. and Rapach, D.E. (2008) International Co-Movements in Inflation Rates and Country Characteristics. Working Paper 2008-025F, Federal Reserve Bank of St. Louis Research Division, St. Louis. [4] Kiviaho, J., Nikkinen, J., Piljak, V. and Rothovius, T. (2012) The Co-Movement Dynamics of European Frontier Stock Markets. European Financial Management, 20, 574-595. http://dx.doi.org/10.1111/j.1468-036X.2012.00646.x [5] Rua, A. and Nunes, L. (2009) International Co-Movement of Stock Market Returns: A Wavelet Analysis. Journal of Empirical Finance, 16, 632-639. http://dx.doi.org/10.1016/j.jempfin.2009.02.002 [6] Madaleno, M. and Pinho, C. (2012) International Stock Market Indices Co-Movements: A New Look. International Journal of Finance and Economics, 17, 89-102. http://dx.doi.org/10.1002/ijfe.448 [7] Percival, D.B. and Walden, A.T. (2000) Wavelet Methods for Time Series Analysis. Cambridge Press, Cambridge. http://dx.doi.org/10.1017/CBO9780511841040 [8] Croux, C., Forni, M. and Reichlin, L. (2001) A Measure of Co-Movement for Economic Variables: Theory and Empirics. Review of Economics and Statistics, 83, 232-241. http://dx.doi.org/10.1162/00346530151143770