Uncertainty Co-Movement in Major European Countries

The recent bouts of crises in the Europe and the US have spurred increasing interest on the co-movement of output and stock market across the European countries. The evidence of such co-movements is rooted mainly from the spillover of uncertainty among the European countries. Hence, using a new uncertainty index from Baker et al. [1], we investigate both the time-vary-ing as well as frequency based co-movement of uncertainty in the selected European countries. Our results suggest both time and frequency varying co-movement of the uncertainty indices. In particular, these co-movements are found to be more pronounced during the crises periods