Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas

Semih Çekin, Ashis Pradhan, Aviral Tiwari and Rangan Gupta

The Quarterly Review of Economics and Finance, 2020, vol. 76, issue C, 207-217

Abstract: We analyze the dependence structure of economic policy uncertainty in four Latin American economies (Brazil, Chile, Colombia, Mexico) using vine copula modeling with various forms of tail dependence. Our results suggest that there are significant dependencies in economic uncertainty among the economies considered and that tail dependence is more prevalent in the period preceding the Global Financial Crisis and becomes less relevant in the post-crisis period. Previous works suggest that uncertainty in economic activity can have substantial effects on economic issues ranging from business cycles to contagion effects of financial crises. Correspondingly, our results have significant implications on the analysis of macroeconomic activity and contagion of financial crises, especially for emerging economies.

Keywords: Economic policy uncertainty; Vine copula; Emerging economies (search for similar items in EconPapers)
JEL-codes: C22 D80 N16 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:76:y:2020:i:c:p:207-217

DOI: 10.1016/j.qref.2019.07.004

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