Purpose This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal (FPU) and monetary (MPU) in four nations, USA, Japan, Greece South Korea, between 1998 2021. Design/methodology/approach To comprehend cross-category/cross-country evolution connectedness, authors use conditional connectedness approach. By using an inclusive network, this strategy ...

Due to the increasing linkage of China and US stock markets today, we constructed a TVP-VAR model study dynamic spillover effects between volatility China’s market crash risk. We found are constantly strengthening risk: when increases, risk increases. In addition, gradual improvement financial openness in China, short-term capital outflow from depreciation RMB exchange rate will increase And, i...

Based on data from March 2008 to June 2020, we use the TVP-SVAR-SV model study time-varying impact of economic policy uncertainty Chinese commodity prices and analyze effect in different periods. The results show that: Firstly, has a significant prices, short-term is larger than long-term effect. Secondly, positively affects during stock market crash 2015; negatively global financial crisis Dec...

Abstract This article discusses the evolution of monetary policy (MP) in Peru 1996Q1–2019Q4 using a mixture innovation time-varying parameter vector autoregressive (VAR) model with stochastic volatility (TVP-VAR-SV) as proposed by Koop, Leon-Gonzales and Strachan. The main empirical results are: (i) VAR coefficients volatilities change more gradually than contemporaneous over time; (ii) MP shoc...