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Uncertainty Co-Movement in Major European Countries

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DOI: 10.4236/tel.2015.52030    2,444 Downloads   2,812 Views   Citations


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.

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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.


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