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Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas

Author

Listed:
  • Semih Emre Cekin

    (Department of Economics, Turkish-German University, Istanbul, Turkey)

  • Ashis Kumar Pradhan

    (Rajagiri Business School, Rajagiri Valley Campus, Kochi, India)

  • Aviral Kumar Tiwari

    (CESD, Montpellier Business School, Montpellier, France and Department of Economics, IBS-Hyderabad, IFHE University, Hyderabad, India)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract
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. We also find 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. Due to this relevance, our results have significant implications on the analysis of a range of macroeconomic issues, especially for emerging economies.

Suggested Citation

  • Semih Emre Cekin & Ashis Kumar Pradhan & Aviral Kumar Tiwari & Rangan Gupta, 2018. "Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas," Working Papers 201867, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201867
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    Cited by:

    1. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Gabauer, David & Gupta, Rangan, 2020. "Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 167-173.
    3. Siphumlile Mangisa & Sonali Das & Rangan Gupta, 2022. "Analyzing The Impact Of Brexit On Global Uncertainty Using Functional Linear Regression With Point Of Impact: The Role Of Currency And Equity Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 67(04), pages 1377-1388, June.
    4. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    5. Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020. "Are Uncertainties across the World Convergent?," Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
    6. Gupta, Rangan & Sun, Xiaojin, 2020. "Forecasting economic policy uncertainty of BRIC countries using Bayesian VARs," Economics Letters, Elsevier, vol. 186(C).
    7. Rangan Gupta & Chi Keung Marco Lau & Jacobus A. Nel & Xin Sheng, 2020. "Monetary policy uncertainty spillovers in time and frequency domains," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-30, December.

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    More about this item

    Keywords

    Economic policy uncertainty; vine copula; emerging economies;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • N16 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Latin America; Caribbean

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