Abstract
We explore the directional spillover network among economic sentiment indicators and the economic policy uncertainty (EPU) index from Europe. We derive our results by fitting the directional spillover index approach to the monthly frequency data of eleven European countries, economic sentiment indicators and the European EPU index, spanning from 1 January 1987, to 1 February 2019. The empirical results indicate that the economic sentiment indicators of the largest European economies (Germany, France, and Italy) spillover with each other the most. The economic sentiment indicators of Germany and France most strongly influence the EU and Euro area economic sentiment indicators. The economic sentiment indicators of France and Italy have the most influence on the European EPU index, while the latter has the strongest influence on the economic sentiment indicators of Germany and France.
Funder
National Research Foundation of Korea
Subject
Information Systems and Management,Computer Networks and Communications,Modeling and Simulation,Control and Systems Engineering,Software
Reference97 articles.
1. How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data
2. Investor sentiment and evaporating liquidity during the financial crisis
3. Animal Spirits: How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism;Akerlof,2009
4. The impact of uncertainty shocks;Bloom;Econometrica,2009
5. Measuring Economic Policy Uncertainty. Chicago Booth Research Paper 13–02;Baker,2013
Cited by
5 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献