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U.S. economic uncertainty, EU business cycles, and the global financial crisis / Taufiq Choudhry, Syed S. Hassan, Sarosh Shabi, Syed Shabi-Ul-Hassan

International Journal of Finance & Economics, Pages: 1 - 15

Swansea University Authors: Sarosh Shabi, Syed Shabi-Ul-Hassan

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DOI (Published version): 10.1002/ijfe.1726

Abstract

This paper investigates the impact of the US economic uncertainty on the business cycles (changes in the industrial production) of twelve European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and nonlinear causality tests, impulse...

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Published in: International Journal of Finance & Economics
ISSN: 1076-9307 1099-1158
Published: John Wiley and Sons Ltd 2019
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URI: https://cronfa.swan.ac.uk/Record/cronfa45910
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Abstract: This paper investigates the impact of the US economic uncertainty on the business cycles (changes in the industrial production) of twelve European Union (EU) countries before and during the global financial crisis. Empirical tests are conducted using the linear and nonlinear causality tests, impulse response function and variance decomposition. Results show ample evidence of causality from the US 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 US uncertainty as a short-term predictor of business cycles of the EU.
Keywords: Business Cycles Jurado index Uncertainty Nonlinear Causality
College: School of Management
Start Page: 1
End Page: 15