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Volatility spillovers among uncertainty measures. The case of EU member states

Śmiech, Sławomir and Papież, Monika (2018): Volatility spillovers among uncertainty measures. The case of EU member states.

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Abstract

The study investigates volatility spillovers among three types of uncertainty - financial, consumer, and industrial - in EU member states in the period between January 2005 and December 2017. The results suggest that most volatility is transmitted between countries within a given type of uncertainty. What is important, the pairs of countries that transmit uncertainty to one another are geographically related (i.e. they are neighbouring countries). Financial uncertainty can be seen as net volatility transmitter to both industrial and consumer uncertainties. The study proposes decomposition of the connectedness table into symmetric and skew-symmetric parts, which offers an attractive and comprehensive interpretation.

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