Downside business confidence spillovers in Europe: evidence from causality-in-risk tests
Erdal Atukeren, Emrah Ismail Cevik, Turhan Korkmaz
article (Uluslararası, Hakemli) | Yazar(lar): Erdal Atukeren, Emrah Ismail Cevik, Turhan Korkmaz | Yıl: 2015 | Dergi/Kurum: JOURNAL OF ECONOMIC POLICY REFORM | İndeks: WOS.SSCI | DOI: 10.1080/17487870.2014.977902 | Anahtar Kelimeler: European economy, business confidence, downside risk, Granger-causality — Özet: This p
This paper employs Hong et al.'s (2009) extreme risk spillovers test to investigate the bilateral business confidence spillovers between Greece, Italy, Spain, Portugal, France, and Germany. After controlling for domestic economic developments in each country and common international factors, downside risk spillovers are detected as a causal feedback between Spain and Portugal and unilaterally from Spain to Italy. Extremely low business sentiments in France, Germany, and Greece are mostly due to the common adverse economic environment and to each country's own domestic economic developments.