Pregled bibliografske jedinice broj: 1053716
Economic Sentiment and Business Cycles: Spillover Methodology Approach
Economic Sentiment and Business Cycles: Spillover Methodology Approach // Economic systems, 45 (2021), 3; 100770, 20 doi:10.1016/j.ecosys.2020.100770 (međunarodna recenzija, članak, znanstveni)
CROSBI ID: 1053716 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Economic Sentiment and Business Cycles: Spillover
Methodology Approach
Autori
Čižmešija, Mirjana ; Škrinjarić, Tihana
Izvornik
Economic systems (0939-3625) 45
(2021), 3;
100770, 20
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Spillover Index ; Economic Sentiment ; Rolling Granger Causality ; Business and Consumer Survey ; Recession
Sažetak
This paper is one of the newest attempts to observe and explain the relationship between the Economic Sentiment Indicator (ESI) and GDP growth. A new approach uses the Diebold and Yilmaz (2012, 2009) spillover methodology by combining the feedback relationship and the time-varying (dynamic) aspect of the same relationship. The empirical analysis is based on quarterly data over different periods in European Union (EU) (as a whole) and in ten Central and Eastern European (CEE) countries. The main results indicate that the spillovers of shocks between ESI and GDP growth are time- varying for all of the observed countries, with increasing values of total spillovers in the last recession and afterward. The direction and strength of spillover effects between the economic sentiment and GDP growth are different for the analyzed CEE countries. The results are robust with respect to changing the rolling window length, additional Granger causality testing and rolling correlation coefficients.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Ekonomija
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Social Science Citation Index (SSCI)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
