Multi-faceted US uncertainty connectedness with domestic and global geopolitical risk
Nikolaos A. Kyriazis,
Emmanouil M.L. Economou
Abstract:Purpose
This paper aims to explore the spillover impacts that domestic or global aspects of geopolitical risk generate on uncertainty. The latter is derived from a spectrum of different sources in the USA (economic policy, monetary policy, fiscal policy, national security, government spending, taxation) from 1985 up to November 2022.
Design/methodology/approach
Vector autoregressive schemes are used to detect causality and reverse causality between each aspect of geopolitical risk and each source of US uncer… Show more
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