کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7373785 1479769 2018 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The study on the tail dependence structure between the economic policy uncertainty and several financial markets
ترجمه فارسی عنوان
مطالعه ساختار وابستگی دم از عدم قطعیت سیاست اقتصادی و چندین بازار مالی است
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
The paper firstly studies the static tail dependence structure between the economic policy uncertainty (EPU) index and several financial markets (Brent Oil, CDS, VIX, SP500 and UK EPU) with Copula models. The results show significant negative upper tail dependence between the EPU index and the SP500 index in most years, but also show positive upper tail dependence during the 2016 period. Further, the negative tail dependence area between EPU and CDS also demonstrates that higher economic policy uncertainty may reduce real risk premium. Finally, based on Markov time-varying Copula functions, the dynamic time-varying structures between the EPU index and indexes including SP500, CDS, VIX and UK EPU indexes are studied. The significant regime switching characteristic is shown between the EPU index and the UK EPU index.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The North American Journal of Economics and Finance - Volume 45, July 2018, Pages 245-265
نویسندگان
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