Reconstruction and dynamic dependence analysis of global economic policy uncertainty

IF 3.2 Q1 BUSINESS, FINANCE
Yue Liu, Yuhang Zheng, B. Drakeford
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引用次数: 12

Abstract

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 this novel index, we find that global economic policy uncertainty has overall experienced a "Low-High-Low" trend during the period April 2003 to November 2018, and there are spikes in connection with notable political events and developments around the world. The results also suggest that there generally exists positive dependence between global and national economic policy uncertainty, and the magnitude of dependency in developed countries is much higher than that in developing countries. In addition, the degree of international economic policy incoordination has increased significantly after the 2008-2009 global financial crisis.
全球经济政策不确定性重构与动态依赖分析
在本文中,我们使用广义动态因素模型来重建Davis(2016)开发的全球经济政策不确定性指数,并使用时变copula方法研究全球和国家经济政策不确定之间的动态依赖结构。基于这一新指数,我们发现,在2003年4月至2018年11月期间,全球经济政策的不确定性总体上经历了“低-高-低”的趋势,并且与世界各地的重大政治事件和事态发展有关。研究结果还表明,全球经济政策和国家经济政策的不确定性之间普遍存在正依赖关系,发达国家的依赖程度远高于发展中国家。此外,2008-2009年全球金融危机后,国际经济政策的不协调程度显著增加。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
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