Reconstruction and dynamic dependence analysis of global economic policy uncertainty

Reconstruction and dynamic dependence analysis of global economic policy uncertainty

In this paper, we use a generalized dynamic factor model to reconstruct the global economic policy uncertainty index developed by Davis (2016), and we investigate the dynamic dependence structure between global and national economic policy uncertainty using the time-varying copula approach. Based on...

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Bibliographic Details
Main Authors: Yue Liu, Yuhang Zheng, Benjamin M Drakeford
Format: Article
Language:English
Published: AIMS Press 2019-09-01
Series:Quantitative Finance and Economics
Subjects:
global economic policy uncertainty
generalized dynamic factor model
time-varying copula
reconstruction
dynamic dependence
Online Access:https://www.aimspress.com/article/10.3934/QFE.2019.3.550/fulltext.html

Internet

https://www.aimspress.com/article/10.3934/QFE.2019.3.550/fulltext.html

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