THE ROLES OF ECONOMIC POLICY UNCERTAINTY AND THE COVID-19 PANDEMIC IN THE CORRELATION BETWEEN CRYPTOCURRENCY AND STOCK MARKETS

2020 ◽  
pp. 1-30
Author(s):  
LINGLING QIAN ◽  
YUEXIANG JIANG ◽  
HUAIGANG LONG ◽  
RUOYI SONG
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
The United States ◽  
Mixed Data ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Market Portfolio ◽  
Hedging Strategies ◽  
The World ◽  
The Impact

We are the first to explore the effect of economic policy uncertainty (EPU) and the COVID-19 pandemic on the correlation between the cryptocurrency index CRIX and the world stock market portfolio, as well as the hedging properties of CRIX. To this end, we mainly apply the dynamic conditional correlation model with mixed data sampling regressions, a threshold vector autoregressive model and the generalized impulse response function. We demonstrate that the correlation is influenced by the uncertainty stance of the economy and behaves differently in low-, medium- and high-uncertainty periods. Most of the abnormal market relations exist in high levels of EPU or during the COVID-19 period, and the impact of global EPU is greater than that of EPU originating in the United States, Europe, Russia and China. Moreover, the CRIX can serve as a hedge asset against the world stock market. The high (low) level of EPU has a significantly positive (negative) effect on the optimal hedge ratio of CRIX, which increases significantly during the COVID-19 period. Our findings have implications for risk management, portfolio allocations and hedging strategies.

THE IMPACT OF ECONOMIC POLICY UNCERTAINTY ON INDUSTRIAL PRODUCTION IN THE UNITED STATES: PRE-PANDEMIC EVIDENCE

2021 ◽  
Author(s):  
Dejan Romih
Keyword(s):  
United States ◽  
Economic Policy ◽  
Industrial Production ◽  
Vector Autoregression ◽  
The United States ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The World ◽  
Growing Body ◽  
The Impact

Although the Covid-19 pandemic (the Great Lockdown), which began in March 2020, is not over yet (mainly due to new SARS-CoV-2 variants, such as Delta), there is already a growing body of evidence that suggests that the Covid-19 pandemic has contributed to an increase in economic policy uncertainty in the United States and the rest of the world. In this paper, I examine the impact of economic policy uncertainty on industrial production in the United States before the Covid-19 pandemic. Using vector autoregression, I found that industrial production in the United States responds negatively to a positive economic policy uncertainty shock in the United States. This suggests that US economic policymakers need to prevent economic policy uncertainty in the United States

scholarly journals The Economic Policy Uncertainty in China, the United States, and Europe: The Empirical Impact on Chinese Stock Markets

2019 ◽  
Vol 6 (5) ◽  
pp. 131
Author(s):  
Wannakomol Supachart
Keyword(s):  
United States ◽  
Economic Policy ◽  
Stock Markets ◽  
The United States ◽  
Policy Uncertainty ◽  
Cross Sectional ◽  
Economic Policy Uncertainty ◽  
Chinese Markets ◽  
Chinese Stock Markets ◽  
The Impact

The objective of this paper is to analyze the impact of economic policy uncertainty (EPU) in China, the United States, and Europe, which are influent to the Chinese stock markets. We employed Vector Autoregression (VAR) model with relative variables including the EPU indices and three Chinese stock markers indices to display the impulse responses of the markets to the EPUs. Our results indicate that the Chinese stock markets negatively respond to their domestic economic policy uncertainty in the first, second, and third month after the EPU shocks. Moreover, we also found the negative responses of the Chinese markets to the EPU from the United States that require five months to rebalance the markets. However, the Chinese markets seem positively respond to the shocks of the economic policy uncertainty in Europe and also took five months to archive market rebalancing. The significant correlation of the economic policy uncertainty between China and the United States resulted in cross-sectional correlation estimates among the EPU indices. Furthermore, there is the reasonable interesting result to claim that the economic policy uncertainty in China is statistically influenced by their own trade and fiscal policy uncertainty that may be considered to be related with China-US trade war in our conclusion.

Testing the efficacy of the economic policy uncertainty index on tourism demand in USMCA: Theory and evidence

2019 ◽  
Vol 26 (8) ◽  
pp. 1344-1357 ◽  
Author(s):  
Cem Işık ◽  
Ercan Sirakaya-Turk ◽  
Serdar Ongan
Keyword(s):  
United States ◽  
Economic Policy ◽  
Explanatory Power ◽  
The United States ◽  
Policy Uncertainty ◽  
Economic Policies ◽  
Tourism Demand ◽  
Economic Policy Uncertainty ◽  
Demand Models ◽  
The Impact

The global economic outlook is more uncertain than ever before and sensitive to uncertainties related to a variety of economic policies decisions of all stakeholders and governments. These perceived uncertainties may be the culprit in shrinking the size of overall economic activity. Under increasing uncertainties, travel and vacation plans of consumers can be canceled or postponed. Therefore, policy-related economic uncertainties are expected to affect tourism demand beyond well-established economic and noneconomic factors. In this study, we explore the efficacy and the impact of the economic policy uncertainty (EPU) index in predicting the tourism demand on international tourist arrivals (a measure of tourism demand) to the United States from Mexico and Canada over the period of January 1996–September 2017. The findings of the study reveal that EPU is a significant predictor as increases in the EPU index lead to decreases in tourism demand to the United States. Canadian tourists seem to be more sensitive to EPUs. Increases in the EPU index cause them to reduce Canadians’ vacations to the United States proportionally more than the Mexicans. To enhance the explanatory power of current models, the uncertainty can be a theoretically significant construct thus needs to be included when calibrating demand models.

scholarly journals Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR-MIDAS Approach

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Xinyu Wu ◽  
Tianyu Liu ◽  
Haibin Xie
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Chinese Stock Market ◽  
Stock Market Volatility ◽  
Model Framework ◽  
Economic Policy Uncertainty ◽  
Volatility Model ◽  
The Impact

Intraday range (the difference between intraday high and low prices) is often used to measure volatility, which has proven to be a more efficient volatility estimator than the return-based one. Meanwhile, a growing body of studies has found that economic policy uncertainty (EPU) has important impact on stock market volatility. In this paper, building on the range-based volatility model, namely, the conditional autoregressive range (CARR) model, we introduce the CARR-mixed-data sampling (CARR-MIDAS) model framework by considering intraday information to investigate the impact of EPU on the volatility of Chinese stock market and to explore the predictive ability of EPU for Chinese stock market. The empirical results show that both the China EPU (CEPU) and global EPU (GEPU) have a significantly negative effect on the long-run volatility of Chinese stock market. Furthermore, we find that taking into account the CEPU and GEPU leads to substantial improvement in the ability to forecast the volatility of Chinese stock market. We also find that the CEPU provides superior volatility forecasts compared to the GEPU. Our findings are robust to different forecasting windows.

scholarly journals Preventing crash in stock market: The role of economic policy uncertainty during COVID-19

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Peng-Fei Dai ◽  
Xiong Xiong ◽  
Zhifeng Liu ◽  
Toan Luu Duc Huynh ◽  
Jianjun Sun
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Negative Correlation ◽  
Crash Risk ◽  
Policy Uncertainty ◽  
Stock Market Crash ◽  
Economic Policy Uncertainty ◽  
The Us ◽  
The Impact

AbstractThis paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.

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