Spillover Network among Economic Sentiment and Economic Policy Uncertainty in Europe

被引：9

作者：

Arreola Hernandez, Jose ^{[1
]}

Kang, Sang Hoon ^{[2
]}

Jiang, Zhuhua ^{[3
]}

Yoon, Seong-Min ^{[4
]}

机构：

[1] Tecnol Monterrey, EGADE Business Sch, Monterrey Campus, Monterrey 66269, Mexico

[2] Pusan Natl Univ, Dept Business Adm, Busan 46241, South Korea

[3] Hankuk Univ Foreign Studies, Div Chinese Foreign Affairs & Commerce, Seoul 02450, South Korea

[4] Pusan Natl Univ, Dept Econ, Busan 46241, South Korea

来源：

SYSTEMS | 2022年 / 10卷 / 04期

基金：

新加坡国家研究基金会;

关键词：

spillover network; interdependence; directional spillover index; economic sentiment; economic policy uncertainty; behavioral factors; INVESTOR SENTIMENT; CONSUMER CONFIDENCE; BITCOIN RETURNS; STOCK RETURNS; CROSS-SECTION; US; VOLATILITY; PREDICT; PRICES; SHOCKS;

D O I：

10.3390/systems10040093

中图分类号：

C [社会科学总论];

学科分类号：

03 ; 0303 ;

摘要：

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.

引用

页数：16

共 97 条

[1] CONSUMER CONFIDENCE AND RATIONAL-EXPECTATIONS - ARE AGENTS BELIEFS CONSISTENT WITH THE THEORY [J].

ACEMOGLU, D ;

SCOTT, A .

ECONOMIC JOURNAL, 1994, 104 (422) :1-19

[2] PREDICTION WITH CONSUMER ATTITUDES - THE TIME SERIES-CROSS SECTION PARADOX [J].

ADAMS, FG .

REVIEW OF ECONOMICS AND STATISTICS, 1965, 47 (04) :367-378

[3] CONSUMER ATTITUDES, BUYING PLANS, AND PURCHASES OF DURABLE GOODS - A PRINCIPAL COMPONENTS, TIME-SERIES APPROACH [J].

ADAMS, FG .

REVIEW OF ECONOMICS AND STATISTICS, 1964, 46 (04) :347-355

[4] ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS [J].

Adebayo, Tomiwa Sunday ;

Saint Akadiri, Seyi ;

Rjoub, Husam .

ANNALS OF FINANCIAL ECONOMICS, 2022, 17 (01)

[5]

Akerlof GA, 2009, ANIMAL SPIRITS: HOW HUMAN PSYCHOLOGY DRIVES THE ECONOMY, AND WHY IT MATTERS FOR GLOBAL CAPITALISM, P1

[6] The power of print: Uncertainty shocks, markets, and the economy [J].

Alexopoulos, Michelle ;

Cohen, Jon .

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2015, 40 :8-28

[7]

Antonakakis N., 2015, Journal of Real Estate Portfolio Management, V21, P53, DOI [DOI 10.1080/10835547.2015.12089971, 10.1080/10835547.2015.12089971]

[8] Dynamic spillovers of oil price shocks and economic policy uncertainty [J].

Antonakakis, Nikolaos ;

Chatziantoniou, Ioannis ;

Filis, George .

ENERGY ECONOMICS, 2014, 44 :433-447

[9] Cognitive Dissonance, Sentiment, and Momentum [J].

Antoniou, Constantinos ;

Doukas, John A. ;

Subrahmanyam, Avanidhar .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2013, 48 (01) :245-275

[10] The impact of investor sentiment on returns and conditional volatility in U.S. futures markets [J].

Bahloul, Walid ;

Bouri, Abdelfettah .

JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2016, 36 :89-102

← 1 2 3 4 5 6 7 8 9 10 →