On international uncertainty links : BART-based empirical evidence for Canada

Abstract

We use the indexes of economic policy uncertainty (EPU) developed by Baker et al. (2015) for Canada and seven (China, France, Germany, Japan, Russia, United Kingdom, and United States) other countries to study international uncertainty links by means of a Bayesian Additive Regression Trees (BART) algorithm. Using partial-dependence plots, relative-importance measures, and permutation tests, we shed light on how EPU in Canada is linked to EPU in seven other countries.