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U.S. economic uncertainty, EU business cycles, and the global financial crisis

Taufiq Choudhry, Syed S. Hassan, Sarosh Shabi Orcid Logo, Syed Shabi-Ul-Hassan Orcid Logo

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

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

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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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first_indexed 2018-11-13T14:22:31Z
last_indexed 2019-10-01T14:11:18Z
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spelling 2019-10-01T12:33:34.5144172 v2 45910 2018-11-13 U.S. economic uncertainty, EU business cycles, and the global financial crisis 26e8e5cfec88f18c9b3ab8455b10170c 0000-0001-9198-2860 Sarosh Shabi Sarosh Shabi true false e22064d3ecfb7a4a5a0861cb1ec35e64 0000-0003-0884-0576 Syed Shabi-Ul-Hassan Syed Shabi-Ul-Hassan true false 2018-11-13 BAF 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. Journal Article International Journal of Finance & Economics 1 15 John Wiley and Sons Ltd 1076-9307 1099-1158 Business Cycles Jurado index Uncertainty Nonlinear Causality 10 5 2019 2019-05-10 10.1002/ijfe.1726 https://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.1726 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University National Science Centre, Poland 2019-10-01T12:33:34.5144172 2018-11-13T10:11:06.1564070 Faculty of Humanities and Social Sciences School of Management - Business Management Taufiq Choudhry 1 Syed S. Hassan 2 Sarosh Shabi 0000-0001-9198-2860 3 Syed Shabi-Ul-Hassan 0000-0003-0884-0576 4 0045910-12042019150051.pdf ijfe_paper_-_revised.pdf 2019-04-12T15:00:51.0370000 Output 1101545 application/pdf Accepted Manuscript true 2021-05-10T00:00:00.0000000 true eng
title U.S. economic uncertainty, EU business cycles, and the global financial crisis
spellingShingle U.S. economic uncertainty, EU business cycles, and the global financial crisis
Sarosh Shabi
Syed Shabi-Ul-Hassan
title_short U.S. economic uncertainty, EU business cycles, and the global financial crisis
title_full U.S. economic uncertainty, EU business cycles, and the global financial crisis
title_fullStr U.S. economic uncertainty, EU business cycles, and the global financial crisis
title_full_unstemmed U.S. economic uncertainty, EU business cycles, and the global financial crisis
title_sort U.S. economic uncertainty, EU business cycles, and the global financial crisis
author_id_str_mv 26e8e5cfec88f18c9b3ab8455b10170c
e22064d3ecfb7a4a5a0861cb1ec35e64
author_id_fullname_str_mv 26e8e5cfec88f18c9b3ab8455b10170c_***_Sarosh Shabi
e22064d3ecfb7a4a5a0861cb1ec35e64_***_Syed Shabi-Ul-Hassan
author Sarosh Shabi
Syed Shabi-Ul-Hassan
author2 Taufiq Choudhry
Syed S. Hassan
Sarosh Shabi
Syed Shabi-Ul-Hassan
format Journal article
container_title International Journal of Finance & Economics
container_start_page 1
publishDate 2019
institution Swansea University
issn 1076-9307
1099-1158
doi_str_mv 10.1002/ijfe.1726
publisher John Wiley and Sons Ltd
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Business Management{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Business Management
url https://onlinelibrary.wiley.com/doi/full/10.1002/ijfe.1726
document_store_str 1
active_str 0
description 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.
published_date 2019-05-10T03:57:34Z
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score 11.017797

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