scholarly journals Economic policy uncertainty, investor sentiment and financial stability—an empirical study based on the time varying parameter-vector autoregression model

2021 ◽  
Author(s):  
Xin-Zhou Qi ◽  
Zhong Ning ◽  
Meng Qin
Keyword(s):  
Economic Policy ◽  
Financial Stability ◽  
Investor Sentiment ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Parameter Vector ◽  
Economic Policy Uncertainty ◽  
Vector Autoregression Model ◽  
Time Varying Parameter ◽  
Autoregression Model

THE CONNECTEDNESS BETWEEN THE SENTIMENT INDEX AND STOCK RETURN VOLATILITY UNDER COVID-19: A TIME-VARYING PARAMETER VECTOR AUTOREGRESSION APPROACH

2021 ◽  
pp. 1-32
Author(s):  
WENTING ZHANG ◽  
SHIGEYUKI HAMORI
Keyword(s):  
Stock Return ◽  
Vector Autoregression ◽  
Return Volatility ◽  
Time Varying ◽  
Parameter Vector ◽  
Vector Autoregression Model ◽  
Stock Return Volatility ◽  
Time Varying Parameter ◽  
Autoregression Model ◽  
The Impact

We analyze the connectedness between the sentiment index and the return and volatility of the crude oil, stock and gold markets by employing the time-varying parameter vector autoregression model vis-à-vis the coronavirus disease (COVID-19) epidemic. Our sentiment index is constructed via text mining technology. We also employ a network to visualize and better understand the structure of the connectedness. The results confirm that the sentiment index is the net pairwise directional connectedness receiver, while the infectious disease equity market volatility tracker is the transmitter. Furthermore, the impact of the COVID-19 pandemic on the total connectedness of volatility is unprecedented.

The effect of economic policy uncertainty on US tourism net exports

2021 ◽  
pp. 135481662110253
Author(s):  
Abebe Hailemariam ◽  
Kris Ivanovski
Keyword(s):  
Economic Policy ◽  
Policy Uncertainty ◽  
Structural Vector Autoregression ◽  
Economic Policy Uncertainty ◽  
Vector Autoregression Model ◽  
Long Run ◽  
Negative Effect ◽  
Positive Shock ◽  
Net Export ◽  
Positive Effect

This article models the endogenously interrelated relationship between global economic policy uncertainty (EPU), world industrial production (WIP), and the demand for US tourism net export (TNX) expenditures. To do so, we apply an identified structural vector autoregression model over monthly data spanning from January 1999 to October 2020. Our findings reveal that a positive shock in WIP has a significant positive effect on demand for TNXs. In contrast, unanticipated increases in price and EPU have a statistically significant negative effect on TNXs. Our results show that, in the long run, a one standard deviation shock in global EPU explains about 26.05% of the variations in tourism net service exports.

Economic policy uncertainty and financial stability–Is there a relation?

2021 ◽  
Vol 94 ◽  
pp. 1018-1029 ◽  
Author(s):  
Dinh Hoang Bach Phan ◽  
Bernard Njindan Iyke ◽  
Susan Sunila Sharma ◽  
Yoga Affandi
Keyword(s):  
Economic Policy ◽  
Financial Stability ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

scholarly journals Sensitivity of economic policy uncertainty to investor sentiment

2019 ◽  
Vol 36 (2) ◽  
pp. 114-129 ◽  
Author(s):  
Mobeen Ur Rehman ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Investor Sentiment ◽  
Policy Uncertainty ◽  
Momentum Effect ◽  
Control Variables ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Investor Sentiments ◽  
International Investors ◽  
The Impact

Purpose This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). The analysis also considers the momentum effect, stock market returns volatility and equity pricing inefficiencies across markets, which, to the best of the authors’ knowledge, has not been addressed in the literature. The role of these control variables has collectively been considered to have important behavioral implications for international investors Design/methodology/approach Quantile regressions are used for estimation purpose, as it provides robust and more efficient estimates rather than those coming from the traditional regression model. Findings The momentum effect is negative and significant only at higher quantiles, while oil prices are positive and significant across all quantiles. The exchange rate exerts a negative and significant effect on EPU, whereas equity price volatility (i.e. investor sentiment) exerts a negative and significant impact on EPU in most of the quantiles. Research limitations/implications The results have important implications for international investors and policymakers, especially in terms of the breakdown of economic policy uncertainty across different sample markets. The breakdown of complete sample period into sub-samples acts as a robust analysis and documents the similarity of the results for the Asian and developed markets cases, but not in the case of the European markets. Practical implications The findings imply the importance of financial stability that impacts the accumulation of systemic risks and adds smoothness to the financial cycle in particular geographical areas. Originality/value The contribution of this paper is threefold. First, existing literature highlights and empirically tests the impact of economic policy uncertainty on different market, macro-economic and global control variables. The analysis, however, performs it in the reverse order, i.e. analyzing the impact of the momentum effect (investor sentiment variables), equity market inefficiencies and volatility (market variables) and exchange rates and Brent oil (control variables). Second, to check the sensitivity of economic policy uncertainty, the analysis analyzes a wide range of markets, segregated as emerging, developed and European regions over the sample period to generate region-wise implications. Finally, the analysis explores the relationship of aforementioned variables with economic policy uncertainty keeping in view the non-linear structure and prior evidence and investor sentiments and economic policy uncertainty in the regression model.

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