scholarly journals Economic Policy Uncertainty and Local Carbon Emission Trading: A Multifractal Analysis from US and Guangdong

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Ruwei Zhao
Keyword(s):  
Economic Policy ◽  
Carbon Emission ◽  
Cross Correlation ◽  
Emission Trading ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Cross Correlation Analysis ◽  
Uncertainty Index ◽  
Carbon Emission Trading ◽  
Correlation Statistics

This paper investigates the long-term dynamic cross-correlation evolution between US economic policy uncertainty index (USEPU) and Guangdong carbon emission trading price (GDCP) from the multifractal detrended cross-correlation analysis (MF-DCCA) perspective. With the calculation of correlation statistics and fluctuation function, the beginning procedures of MF-DCCA, we find that the cross-correlation between USEPU and GDCP is significant and presents power law property. Also, with the Hurst exponent, we find that the long-horizon correlations between series are persistent. Moreover, we perform Rényi exponent and spectrum singularity check. The empirical findings reveal that the all the correlations are of multifractality and the correlation of GDCP holds the highest degree.

A Multifractal Cross-Correlation Analysis of Economic Policy Uncertainty: Evidence from China and US

2021 ◽  
pp. 2150041
Author(s):  
Ruwei Zhao ◽  
Peng-Fei Dai
Keyword(s):  
Economic Policy ◽  
Correlation Analysis ◽  
Cross Correlation ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Economic Fluctuation ◽  
Cross Correlation Analysis ◽  
Uncertainty Index ◽  
Cross Correlations ◽  
Renyi Exponent

In this study, we utilized the prevailing economic policy uncertainty index (EPU) as the proxy of state economic fluctuation and investigated Sino–US economic fluctuation long horizon cross-correlation with a multifractal detrended cross-correlation analysis (MF-DCCA). With the MF-DCCA approach, we found a reliable long-range cross-correlation between China and US EPU changes. In addition, we discovered that a power law cross-correlation existed for the variation of most scaling orders. However, no persistence of cross-correlations was detected within the Sino–US EPU change series. Additionally, we implemented Rényi exponent and spectrum singularity checks. Both the examination results proved series multifractality with the presented arch-shaped curves. We further calculated the Hölder exponent bounds within each series and found that the China EPU changes had maximal multifractality with the largest exponent difference.

scholarly journals Dynamic Cross-Correlations Analysis on Economic Policy Uncertainty and US Dollar Exchange Rate: AMF-DCCA Perspective

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Ruwei Zhao ◽  
Yian Cui
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Cross Correlation ◽  
Measurement Instrument ◽  
Policy Uncertainty ◽  
Dollar Exchange Rate ◽  
Economic Policy Uncertainty ◽  
Cross Correlation Analysis ◽  
Us Dollar ◽  
Correlation Statistics

In this paper, we employ the multifractal detrended cross-correlation analysis (MF-DCCA) as the measurement instrument for the dynamic cross-correlation inspection between US economic policy uncertainty (EPU) index and US dollar exchange rate return (Ret). By calculating the cross-correlation statistics, we find mild acceptance of cross-correlation between EPU and Ret qualitatively. With further application of MF-DCCA methodology, we find strong power law cross-correlation existence within all scaling orders. Also, apparent persistence of cross-correlation has been discovered with significant Hurst exponents of all orders. Besides, we find that long-term cross-correlation demonstrates more persistence and higher degree of multifractality than those in the short term. Finally, we utilize the rolling window and binominal measurement analysis as revisits of the model. The results are consistent with model statements.

scholarly journals Policy Uncertainty, Economic Activity And Carbon Emissions: A Nonlinear Autoregressive Distributed Lag Approach

2021 ◽  
Author(s):  
Malihe Ashena ◽  
Ghazal Shahpari
Keyword(s):  
Economic Policy ◽  
Carbon Emissions ◽  
Economic Activity ◽  
Carbon Emission ◽  
Policy Uncertainty ◽  
Economic Uncertainty ◽  
Economic Policy Uncertainty ◽  
Economic Production ◽  
Uncertainty Index ◽  
Nonlinear Autoregressive

Abstract Over the last few years, economic uncertainty has become a global concern. Not only has its impact on economic activities, but there are pieces of evidence that show uncertainty can be the reason for CO2 emissions. It is also expected that the economic policy uncertainty may decrease or delay economic production, which may lead to a reduction in carbon emissions. Furthermore, uncertainty may decrease friendly environment policies and budgets, which cause increase in carbon emissions. Thus, there may be an asymmetric relationship between economic uncertainty and the amount of CO2 emissions. This study investigates the effects of economic policy uncertainty and economic activity on carbon emission applying a Nonlinear Autoregressive Distributive Lag (NARDL) cointegration approach in Iran between 1971 and 2018. Findings show that both policy uncertainty and economic growth contribute to CO2 emissions. The negative and positive shocks of GDP and uncertainty index on CO2 emissions in both the short-run and long-run are significant. It can be concluded that there is an asymmetric effect of economic production on CO2 emissions in Iran. The results of analyzing asymmetric effects of economic uncertainty show a symmetric relationship between uncertainty index and CO2 emissions. In a way that a shock in uncertainty index lowers carbon emission. To sum up, since uncertainty may affect the analysis of carbon emissions incorrectly, some environmental policies such as allocating a budget for R&D on clean energy, and environmental taxes must be implemented.

scholarly journals Belgian economic policy uncertainty index: Improvement through text mining

2018 ◽  
Vol 34 (2) ◽  
pp. 355-365 ◽  
Author(s):  
Ellen Tobback ◽  
Hans Naudts ◽  
Walter Daelemans ◽  
Enric Junqué de Fortuny ◽  
David Martens
Keyword(s):  
Economic Policy ◽  
Text Mining ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Uncertainty Index

A Twitter-Based Economic Policy Uncertainty Index for Turkey

2021 ◽  
Author(s):  
Sumru Altug ◽  
Sevcan Yesiltas ◽  
Anıl Şen ◽  
Beyza Arslan
Keyword(s):  
Economic Policy ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Uncertainty Index

THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES

2021 ◽  
pp. 2150002
Author(s):  
MATTHEW CLANCE ◽  
GIRAY GOZGOR ◽  
RANGAN GUPTA ◽  
CHI KEUNG MARCO LAU
Keyword(s):  
Economic Policy ◽  
Policy Uncertainty ◽  
Tax Rates ◽  
Corporate Tax ◽  
Economic Policy Uncertainty ◽  
Estimation Techniques ◽  
Uncertainty Index ◽  
Corporate Tax Rates ◽  
The Relationship

This paper investigates the relationship between economic policy uncertainty and corporate tax rates in a panel dataset of 126 countries throughout 2003–2018. We use the so-called “World Uncertainty Index” to measure the level of economic policy uncertainty. We utilize various estimation techniques and find a one-way causality from economic policy uncertainty to corporate tax rates. Specifically, a rise in economic policy uncertainty leads to higher corporate tax rates. We also discuss potential implications.

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