US economic uncertainty, EU business cycles, and the global financial crisis

被引：15

作者：

Choudhry, Taufiq ^{[1
]}

Hassan, Syed S. ^{[2
]}

Shabi, Sarosh ^{[2
]}

机构：

[1] Univ Southampton, Sch Business, Southampton, Hants, England

[2] Swansea Univ, Sch Management, Swansea, W Glam, Wales

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2020年 / 25卷 / 01期

关键词：

business cycles; Jurado index; non-linear causality; uncertainty; TIME-SERIES; GRANGER CAUSALITY; EXCHANGE-RATES; IMPACT; RUN; COINTEGRATION; INTEGRATION; SPILLOVERS; MODELS; TRADE;

D O I：

10.1002/ijfe.1726

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the impact of the U.S. economic uncertainty on the business cycles (changes in the industrial production) of 12 European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and non-linear causality tests, impulse response function, and variance decomposition. Results show ample evidence of causality from the U.S. uncertainty to EU business cycles only when the crisis period is included in the analysis. Both the linear and non-linear tests confirm the significance of U.S. uncertainty as a short-term predictor of business cycles of the EU.

引用

页码：28 / 42

页数：15

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