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World Commodity Prices and Economic Activity in Advanced and Emerging Economies

We investigate the volatility dynamics of commodity price and the dependence structure between commodity prices and output growth in the G7 and EM7 economies using a semiparametric GARCH-in-Mean copula approach. We show that for the G7 economies, a symmetric weak tail dependence exists between commo...

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Detalles Bibliográficos
Autores principales: Liu, Jinan, Serletis, Apostolos
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8476293/
http://dx.doi.org/10.1007/s11079-021-09632-8

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