Spillover among financial,industrial and consumer uncertainties. The case of EU member states |
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| Institution: | 1. Cracow University of Economics, Department of Statistics, Rakowicka 27 St., 31-510 Cracow, Poland;2. Montpellier Business School, Montpellier, France;3. South Ural State University, Chelyabinsk, Russian Federation;1. Cracow University of Economics, Department of Statistics, Rakowicka 27 St., 31-510 Cracow, Poland;2. Cracow University of Economics, Department of Macroeconomics, Rakowicka 27 St., 31-510 Cracow, Poland;1. Department of Statistics, Cracow University of Economics, Cracow, Poland;2. Cracow University of Economics, Rakowicka 27, 31-510 Cracow, Poland;3. Econometrics Institute, SGH Warsaw School of Economics, Poland;4. Department of Financial Markets, Cracow University of Economics, Cracow, Poland |
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| Abstract: | We examine connectedness among three types of uncertainties, financial, consumer and industrial uncertainties, in EU member states. The monthly series span the period January 2005 to March 2018, which includes the global financial crisis and the European sovereign debt crisis. The time and frequency spillover approaches based on generalized forecast error variance decomposition are used. We propose decomposing the connectedness tables into symmetric and skew-symmetric parts, for a better and more comprehensive interpretation. The results show that spillover among uncertainties is higher during crises. More spillover is observed within a specific type of uncertainty. The pairs of countries that transmit uncertainty to one another are geographically related, i.e. neighbouring countries. Financial uncertainty is a net transmitter to both industrial and consumer uncertainties. |
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