Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas
Semih Çekin,
Ashis Pradhan,
Aviral Tiwari and
Rangan Gupta
No 201867, Working Papers from University of Pretoria, Department of Economics
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. We also find 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. Due to this relevance, our results have significant implications on the analysis of a range of macroeconomic issues, especially for emerging economies.
Keywords: Economic policy uncertainty; vine copula; emerging economies (search for similar items in EconPapers)
Pages: 18 pages
Date: 2018-10
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas (2020) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201867
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().