Cross-category, trans-Pacific spillovers of policy uncertainty and financial market volatility
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DOI: 10.4419/86788910
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- Christopher Thiem, 2020. "Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility," Open Economies Review, Springer, vol. 31(2), pages 317-342, April.
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More about this item
Keywords
economic policy uncertainty; exchange rate volatility; Japan; spillovers; stock market volatility; United States; vector autoregression;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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