Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework
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DOI: 10.1016/j.frl.2016.12.010
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- Jiang, Yonghong & He, Luli & Meng, Juan & Nie, He, 2019. "Nonlinear impact of economic policy uncertainty shocks on credit scale: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 626-634.
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More about this item
Keywords
Economic policy uncertainty; Financial stress; Empirical mode decomposition; BEKK-GARCH; Multi-scales; Dynamic correlation;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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