Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach

Yıl: 2021 Cilt: 7 Sayı: 2 Sayfa Aralığı: 47 - 59 Metin Dili: İngilizce DOI: 10.22440/wjae.7.2.2 İndeks Tarihi: 22-06-2022

Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach

Öz:
This work analyzes the frequency-dependent network structure of Economic Policy Uncertainties (EPU) across G-7 countries between January 1998 and April 2021. We implement an approach that builds dynamic networks relying on a locally stationary Time-Varying Parameter-Vector Autoregressive model using Quasi-Bayesian Local Likelihood methods. We compute short-, medium-, and long-term network connectedness of G-7 EPUs over a period covering several economic/financial turmoils. Furthermore, we structure short-term network topologies for the Global Financial Crisis (GFC) and the COVID-19 pandemic periods. Findings of the study indicate amplified interdependencies between G-7 EPUs around well-known economic/geopolitical incidents, frequency-dependent connectedness networks among them, and stronger interdependencies than the medium-, and long-term linkages. Finally, we find that short-term spillovers are not persistent in the long-term for both turmoil periods.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Polat O (2021). Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. , 47 - 59. 10.22440/wjae.7.2.2
Chicago Polat Onur Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021): 47 - 59. 10.22440/wjae.7.2.2
MLA Polat Onur Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. , 2021, ss.47 - 59. 10.22440/wjae.7.2.2
AMA Polat O Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. . 2021; 47 - 59. 10.22440/wjae.7.2.2
Vancouver Polat O Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. . 2021; 47 - 59. 10.22440/wjae.7.2.2
IEEE Polat O "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach." , ss.47 - 59, 2021. 10.22440/wjae.7.2.2
ISNAD Polat, Onur. "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach". (2021), 47-59. https://doi.org/10.22440/wjae.7.2.2
APA Polat O (2021). Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. World Journal of Applied Economics, 7(2), 47 - 59. 10.22440/wjae.7.2.2
Chicago Polat Onur Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. World Journal of Applied Economics 7, no.2 (2021): 47 - 59. 10.22440/wjae.7.2.2
MLA Polat Onur Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. World Journal of Applied Economics, vol.7, no.2, 2021, ss.47 - 59. 10.22440/wjae.7.2.2
AMA Polat O Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. World Journal of Applied Economics. 2021; 7(2): 47 - 59. 10.22440/wjae.7.2.2
Vancouver Polat O Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. World Journal of Applied Economics. 2021; 7(2): 47 - 59. 10.22440/wjae.7.2.2
IEEE Polat O "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach." World Journal of Applied Economics, 7, ss.47 - 59, 2021. 10.22440/wjae.7.2.2
ISNAD Polat, Onur. "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach". World Journal of Applied Economics 7/2 (2021), 47-59. https://doi.org/10.22440/wjae.7.2.2