Yazar "Tiwari, Aviral Kumar" seçeneğine göre listele

Listeleniyor 1 - 2 / 2
  • Küçük Resim
    Öğe
    Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas
    (Elsevier Science Inc, 2020) Çekin, Semih Emre; Pradhan, Ashis Kumar; Tiwari, Aviral Kumar; Gupta, Rangan
    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. (C) 2019 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved.
  • Küçük Resim
    Öğe
    The relationship between monetary policy and uncertainty in advanced economies: evidence from time- and frequency-domains
    (Elsevier B.V., 2020) Çekin, Semih Emre; Hkiri, Besma; Tiwari, Aviral Kumar; Gupta, Rangan
    In this work we offer new insight into the relationship between interest rates and uncertainty for several advanced economies (Canada, Euro Area, Japan, UK, US) for the period 2003?2018. For this purpose, we utilize wavelets, which allow us to analyze how the relationship changes over time and across different frequencies, and to make inference about causality. We also use the daily shadow interest rate measure of Krippner (2012), (2013) to capture the stance of monetary policy making at the zero lower bound, and the uncertainty measure by Scotti (2016) to measure uncertainty related to the real economy. Our findings suggest that there is significant co-movement over time and across different frequencies in all the countries we analyze. Corresponding to the similar, yet different conduct of monetary policy, we also find that the relationship exhibits different characteristics and causality in all the economies we analyze, implying that one must be careful not to draw generalized conclusions. © 2020