US economic uncertainty, EU business cycles and the global financial crisis
US economic uncertainty, EU business cycles and the global financial crisis
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.
Choudhry, Taufiq
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Shabi, Sarosh
7bc53ee7-3452-4852-ac43-94e436314031
Hassan, Syed Shabi Ul
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Choudhry, Taufiq
6fc3ceb8-8103-4017-b3b5-2d38efa57728
Shabi, Sarosh
7bc53ee7-3452-4852-ac43-94e436314031
Hassan, Syed Shabi Ul
fc2f6b35-be21-47c9-9efc-2fa57e0b071f
Choudhry, Taufiq, Shabi, Sarosh and Hassan, Syed Shabi Ul
(2019)
US economic uncertainty, EU business cycles and the global financial crisis.
International Journal of Finance & Economics.
(doi:10.1002/ijfe.1726).
Abstract
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.
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Accepted/In Press date: 21 March 2019
e-pub ahead of print date: 10 May 2019
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Local EPrints ID: 429714
URI: http://eprints.soton.ac.uk/id/eprint/429714
ISSN: 1076-9307
PURE UUID: 6495564f-b8ce-479d-93bc-a4c373a83506
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Date deposited: 04 Apr 2019 16:30
Last modified: 16 Mar 2024 07:43
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Author:
Sarosh Shabi
Author:
Syed Shabi Ul Hassan
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