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Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas
(Elsevier Science Inc, 2020)
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 ...
The relationship between monetary policy and uncertainty in advanced economies: evidence from time- and frequency-domains
(Elsevier B.V., 2020)
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, ...
