کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7348485 1476592 2018 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach
چکیده انگلیسی
We investigate the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the TVP-VAR connectedness approach of Antonakakis and Gabauer (2017). The decomposition of our approach gives us insights about the dynamics with and without international spillovers which has essential policy implications. Our results suggest that monetary policy uncertainty is the main driver, followed by uncertainties associated with fiscal, currency market and trade policies. Furthermore, we find that the Fukushima Daiichi accident can be interpreted as a negative trade shock that spread internationally.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 171, October 2018, Pages 63-71
نویسندگان
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