scholarly journals Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

2021 ◽  
Author(s):  
Noureddine Benlagha ◽  
Wael Hemrit
Keyword(s):  
Economic Policy ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Bond Yields ◽  
Macroeconomic Factors ◽  
Full Sample ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
The Common ◽  
The Impact

AbstractThis paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.

scholarly journals Impact of Economic Policy Uncertainty on the Distribution of China’s Stock Returns: An External Perspective

2019 ◽  
Vol 23 (4) ◽  
pp. 667-677
Author(s):  
Yanyun Yao ◽  
Haijing Yu ◽  
Huimin Wang ◽  
Tsung-Kuo Tien-Liu ◽  
◽  
...  
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Policy Uncertainty ◽  
Return Distribution ◽  
Full Sample ◽  
Economic Policy Uncertainty ◽  
Out Of Sample ◽  
The Mean ◽  
The Impact ◽  
External Uncertainty

This study examines the impact of external economic policy uncertainty on the distribution of China’s stock returns. The Chinese Economic Policy Uncertainty (CEPU) and global EPU (GEPU) indexes compiled by [1] are employed as a measurement of the external uncertainty. An empirical study is conducted using the GARCH-MIDAS framework. The first innovation of this study is extending the symmetric GARCH-MIDAS model to the case of GJR; the leverage effect is therefore considered. The second innovation is considering the impact of EPU on the overall distribution of returns, rather than on the mean or volatility. Full-sample fitting shows that CEPU can explain around 14% of the return volatility, and CEPU together with GEPU can explain about 17%. Out-of-sample recursive forecasting demonstrates that it is meaningful to extend the models to GJR; the EPU information improves the return distribution forecasting. However, the impact of EPUs is limited, which implies that external uncertainty is quite different from the “internal” economic policy uncertainty directly driving the China’s stock market.

scholarly journals Do Economic Policy Uncertainty and Geopolitical Risk Lead to Environmental Degradation? Evidence from Emerging Economies

2021 ◽  
Vol 13 (11) ◽  
pp. 5866
Author(s):  
Muhammad Khalid Anser ◽  
Qasim Raza Syed ◽  
Hooi Hooi Lean ◽  
Andrew Adewale Alola ◽  
Munir Ahmad
Keyword(s):  
Economic Policy ◽  
Renewable Energy ◽  
Environmental Degradation ◽  
Emerging Economies ◽  
Ecological Footprint ◽  
Policy Implications ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Integration Test ◽  
The Impact

Since the turn of twenty first century, economic policy uncertainty (EPU) and geopolitical risk (GPR) have escalated across the globe. These two factors have both economic and environmental impacts. However, there exists dearth of literature that expounds the impact of EPU and GPR on environmental degradation. This study, therefore, probes the impact of EPU and GPR on ecological footprint (proxy for environmental degradation) in selected emerging economies. Cross-sectional dependence test, slope heterogeneity test, Westerlund co-integration test, fully modified least ordinary least square estimator, dynamic OLS estimator, and augmented mean group estimator are employed to conduct the robust analyses. The findings reveal that EPU and non-renewable energy consumption escalate ecological footprint, whereas GPR and renewable energy plunge ecological footprint. In addition, findings from the causality test reveal both uni-directional and bi-directional causality between a few variables. Based on the findings, we deduce several policy implications to accomplish the sustainable development goals in emerging economies.

scholarly journals DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

2020 ◽  
Vol 23 (4) ◽  
pp. 501-524
Author(s):  
Harald Kinateder ◽  
Robert Bauer ◽  
Niklas Wagner
Keyword(s):  
Growth Rate ◽  
Bond Market ◽  
Gdp Growth ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Yield Curves ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
Gdp Growth Rate ◽  
Sovereign Bond Markets

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

Economic Policy Uncertainty in the Euro Area: Cross-Country Spillovers and Macroeconomic Impact

2019 ◽  
Vol 239 (5-6) ◽  
pp. 957-981 ◽  
Author(s):  
Volker Clausen ◽  
Alexander Schlösser ◽  
Christopher Thiem
Keyword(s):  
Economic Policy ◽  
Structural Var ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Financial Firms ◽  
Macroeconomic Impact ◽  
Variance Decompositions ◽  
Cross Country ◽  
Uncertainty Indices ◽  
The Impact

Abstract This paper analyzes spillovers and the macroeconomic effects of economic policy uncertainty (EPU) in Europe over the last two decades. Drawing on the newspaper-based uncertainty indices by Baker et al. (2016, Measuring Economic Policy Uncertainty. Quarterly Journal of Economics 131 (4): 1593–1636), we first use the Diebold and Yilmaz (2014 On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. Journal of Econometrics 182 (1): 119–134) connectedness index methodology to investigate the static and dynamic patterns of EPU spillovers. We find substantial spillovers across the European countries. Over time, Germany in particular has become increasingly connected to the other economies. In a second step, we investigate the economic impact of EPU shocks using a structural VAR. The detrimental influence of uncertainty turns out to be regime-dependent. We identify a pre-crisis, a crisis and a post-crisis regime, and the effect is only significant in the former two. Finally, the impact of EPU shocks is also heterogeneous across the monetary union’s most important members.

Economic policy uncertainty and fine wine prices

2020 ◽  
Vol 32 (3) ◽  
pp. 457-476
Author(s):  
Nithya Shankar ◽  
Bill Francis
Keyword(s):  
Economic Policy ◽  
Information Criterion ◽  
Government Policies ◽  
Time Lags ◽  
Policy Uncertainty ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
The Uk ◽  
The Impact ◽  
Wine Markets

Purpose The paper aims to investigate the impact of economic policy uncertainty (EPU) (i.e. uncertainty due to government policies) on fine wine prices. Design/methodology/approach The paper uses the Baker et al. (2016) monthly news-based measure of EPU for the leading wine markets: the USA, the UK, France, Germany and China in conjunction with monthly fine wine pricing data from the London International Vintners Exchange (Liv-ex). The wine sub-indices used are the Liv-ex 500 (Bordeaux), Burgundy 150, Champagne 50, Rhone 100, Italy 100, California 50, Port 50 and Rest of the World 50. The Prais–Winsten and Cochrane–Orcutt regressions are used for our analyses to correct for effects of serial correlation. Time lags are chosen based on the appropriate information criterion. Findings Changes in EPU levels negatively impact changes in the Liv-ex 500 index for all our leading wine markets except France, the Champagne 50 index for the UK and the Burgundy 150 and the Rhone 100 indices for Germany, with the effects being significant for at least up to a quarter before EPU is detected. The authors did not find significant results for the EPU of France. Practical implications The paper aims to provide insights into whether EPU creates opportunities or threats for investors and wineries. Originality/value A forward-looking news-based EPU measure is used to gain insights into how the different Liv-ex sub-indices react to increases in uncertainty centered around government policies across a sample of different countries.

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