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

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dc.contributor.authorÇekin, Semih Emre
dc.contributor.authorPradhan, Ashis Kumar
dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorGupta, Rangan
dc.date.accessioned2021-01-08T21:51:20Z
dc.date.available2021-01-08T21:51:20Z
dc.date.issued2020
dc.departmentTAÜ, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.descriptionCekin, Semih Emre/0000-0003-4637-3112; Pradhan, Ashis Kumar/0000-0003-0876-805X; Tiwari, Aviral Kumar/0000-0002-1822-9263en_US
dc.descriptionWOS:000538816500017en_US
dc.description.abstractWe 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.
dc.identifier.doi10.1016/j.qref.2019.07.004
dc.identifier.endpage217en_US
dc.identifier.issn1062-9769
dc.identifier.issn1878-4259
dc.identifier.scopus2-s2.0-85069969271
dc.identifier.scopusqualityQ2
dc.identifier.startpage207en_US
dc.identifier.urihttp://doi.org/10.1016/j.qref.2019.07.004
dc.identifier.urihttps://hdl.handle.net/20.500.12846/146
dc.identifier.volume76en_US
dc.identifier.wosWOS:000538816500017
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier Science Inc
dc.relation.ispartofQuarterly Review Of Economics And Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectEconomic Policy Uncertaintyen_US
dc.subjectVine Copulaen_US
dc.subjectEmerging Economiesen_US
dc.titleMeasuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas
dc.typeArticle

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