How Does Economic Policy Uncertainty Connect With the Volatility Spillovers in Asia-Pacific Markets?

Autor:	Oluwatomisin J. Oyewole, Ismail O. Fasanya, Taofeek Agbatogun
Rok vydání:	2021
Předmět:	Asia pacific Economic policy Social connectedness Nonparametric statistics Economics General Earth and Planetary Sciences Volatility (finance) Causality General Environmental Science Quantile
Zdroj:	Asian Economics Letters. 2
ISSN:	2652-8681
DOI:	10.46557/001c.21437
Popis:	We examine the connection between global economic policy uncertainty (GEPU) and the dynamic spillovers of the Asia-Pacific manufacturing market within a nonparametric framework. We find strong connectedness between markets, and our results strongly support a nonlinear causal relationship between GEPU and manufacturing markets, mostly at median quantiles. Nonlinearity in our data signifies that the nonparametric test is more robust relative to the standard causality test.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0b91f558bd19f0cfdb9295726542b19a https://doi.org/10.46557/001c.21437 Zobrazit plný text záznamu