The effect of economic policy uncertainty on the long-run correlation between crude oil and the U.S. stock markets

Abstract This study investigates if the changes in economic policy uncertainty in the U.S. can explain the returns on stock markets of Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. The study also examines how the stock market returns of the six GCC countries respond to the changes in economic policy uncertainty in the U.S. The results demonstrate that changes in economic policy uncertainty in the U.S. are not significantly linked with the returns on all the stock markets except Oman stock market, which shows a statistical significant negative relationship with the changes in economic policy uncertainty in the U.S. Controlling for the effects of the U.S. stock market and oil price, returns on all the six GCC markets including Oman show insignificant coefficients. The returns on all the stock markets do not respond to the changes in economic policy uncertainty. The results of Granger causality tests show that the changes in economic policy uncertainty in the U.S. do not cause the returns of all the six GCC stock markets.

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Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market

Mathematics ◽

10.3390/math9121411 ◽

2021 ◽

Vol 9 (12) ◽

pp. 1411

Author(s):

Xiaqing Su ◽

Zhe Liu

Keyword(s):

Economic Policy ◽

Stock Market ◽

Asset Allocation ◽

Policy Uncertainty ◽

Volatility Spillover ◽

Economic Policy Uncertainty ◽

Long Run ◽

Transmission Structure ◽

Long Term Impact

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

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The effect of economic policy uncertainty on US tourism net exports

Tourism Economics ◽

10.1177/13548166211025334 ◽

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.

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Geopolitical risk, economic growth, economic uncertainty and international inbound tourism: an Indian Illustration

Review of Economics and Political Science ◽

10.1108/reps-07-2020-0081 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Sudeshna Ghosh

Keyword(s):

Economic Growth ◽

Economic Policy ◽

Trade Openness ◽

Policy Uncertainty ◽

Tourism Demand ◽

Content Type ◽

Economic Policy Uncertainty ◽

Long Run ◽

Geopolitical Risks

Purpose This paper aims to consider the role of geopolitical risk in explaining tourism demand in India, a major tourist destination of the Asian region. Furthermore, the study also considers how in addition to geopolitical risk, economic policy uncertainty, economic growth, exchange rate, inflation and trade openness impact tourism demand. Design/methodology/approach The Bayer and Hanck (2013) method of cointegration is applied to explore the relationship between geopolitical risk and tourism demand. Furthermore, the study has also used the auto distributed lag model to determine whether there is a long-run cointegrating association between tourism demand, geopolitical risk, economic policy uncertainty, economic growth, exchange rate and trade openness. Finally, the vector error correction model confirms the direction of causality across the set of the major variables. Findings This paper finds that geopolitical risk adversely impacts inbound international travel to India. This study also obtains the consistency of the results across different estimation techniques controlling for important macro variables. The Granger causality test confirms the unidirectional causality from geopolitical risk to tourism and further from economic uncertainty to tourism. The findings from the study confirm that geopolitical risks have long-term repercussions on the tourism sector in India. The results indicate that there is an urgent need to develop a pre-crisis management plan to protect the aura of Indian tourism. The tourism business houses should develop skilful marketing strategies in the post-crisis to boost the confidence of the tourists. Research limitations/implications This paper provides valuable practical implications to tourism business houses. The tourism business houses can explore geopolitical risk measure and economic policy uncertainty measure to analyse the demand for international tourism in India. Further, the major stakeholders can establish platforms to help tourists to overcome the fear associated with geopolitical risk. Originality/value This study is the first of its kind to explore the geopolitical risks and their long-run consequences in the context of tourism in India. The study puts emphasis on the role of national policy to maintain peace otherwise it would be detrimental to tourism.

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Do Asian emerging stock markets react to international economic policy uncertainty and geopolitical risk alike? A quantile regression approach

Finance Research Letters ◽

10.1016/j.frl.2019.08.024 ◽

2020 ◽

Vol 34 ◽

pp. 101276 ◽

Cited By ~ 6

Author(s):

M. Kannadhasan ◽

Debojyoti Das

Keyword(s):

International Economic ◽

Economic Policy ◽

Quantile Regression ◽

Stock Markets ◽

Policy Uncertainty ◽

Economic Policy Uncertainty ◽

Emerging Stock Markets ◽

Regression Approach

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Evaluating tail risks for the U.S. economic policy uncertainty

International Journal of Finance & Economics ◽

10.1002/ijfe.2354 ◽

2020 ◽

Author(s):

Nicholas Apergis

Keyword(s):

Economic Policy ◽

Policy Uncertainty ◽

Economic Policy Uncertainty ◽

The U.S

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Does Economic Policy Uncertainty Affect CO2 Emissions? Empirical Evidence from the United States

Sustainability ◽

10.3390/su12219108 ◽

2020 ◽

Vol 12 (21) ◽

pp. 9108 ◽

Cited By ~ 1

Author(s):

Qing Wang ◽

Kefeng Xiao ◽

Zhou Lu

Keyword(s):

United States ◽

Economic Policy ◽

Co2 Emissions ◽

Structural Breaks ◽

Unit Root Test ◽

The United States ◽

Policy Uncertainty ◽

Energy Prices ◽

Economic Policy Uncertainty ◽

Long Run

This paper aims to examine the effects of economic policy uncertainty (measured by the World Uncertainty Index—WUI) on the level of CO2 emissions in the United States for the period from 1960 to 2016. For this purpose, we consider the unit root test with structural breaks and the autoregressive-distributed lag (ARDL) model. We find that the per capita income promotes CO2 emissions in the long run. Similarly, the WUI measures are positively associated with CO2 emissions in the long run. Energy prices negatively affect CO2 emissions both in the short run and the long run. Possible implications of climate change are also discussed.

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