World Commodity Prices and Economic Activity in Advanced and Emerging Economies
نویسندگان
چکیده
We investigate the volatility dynamics of commodity price and dependence structure between prices output growth in G7 EM7 economies using a semiparametric GARCH-in-Mean copula approach. show that for economies, symmetric weak tail exists outputs France, Germany, Japan. For lower is observed Brazil, Indonesia. No statistically significant found rest economies.
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ژورنال
عنوان ژورنال: Open Economies Review
سال: 2021
ISSN: ['1573-708X', '0923-7992']
DOI: https://doi.org/10.1007/s11079-021-09632-8