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In this paper, we use a generalized dynamic factor model to reconstruct the global economic policy uncertainty index developed by Davis (2016), and we investigate the dynamic dependence structure between global and national economic policy uncertainty using the time-varying copula approach. Based on this novel index, we find that global economic policy uncertainty has overall experienced a "Low-High-Low" trend during the period April 2003 to November 2018, and there are spikes in connectiondoi:10.3934/qfe.2019.3.550 fatcat:fgssdffkrrcp7i7dg4uvfvvrgi