scholarly journals The impact of Economic Policy Uncertainty on the real exchange rate: Evidence from the UK

2021 ◽  
Author(s):  
Paula Moldovan ◽  
Sérgio Lagoa ◽  
Diana Mendes
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Debt Crisis ◽  
Subprime Crisis ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
The Uk ◽  
The Impact

The world economy has been punctuated by uncertainty as a result of the 2008 subprime crisis, the European sovereign debt crisis, Brexit, and the 2016 US presidential elections, to mention but a few of the reasons. This study explores how the UK real exchange rate reacts to economic policy uncertainty (EPU) shocks using monthly data for the period 1998 to 2020. We contribute to the literature by identifying the long-run and short-run impacts of EPU using a cointegrated ARDL model, and by studying a country that has been through periods of both relatively low and high uncertainty. Results confirm that EPU has an important effect in the long run by depreciating the exchange rate. In addition to urging policymakers and regulators to concentrate on the sometimes difficult task of keeping policy uncertainty to a minimum as a way of sustaining exchange rate stability and thus promoting long-term economic growth, further evidence is provided on exchange rate fundamentals.

scholarly journals COVID-19 Induced Economic Uncertainty: A Comparison between the United Kingdom and the United States

Ekonomika ◽  
2020 ◽  
Vol 99 (2) ◽  
pp. 104-115
Author(s):  
Ugur Korkut Pata
Keyword(s):  
Economic Policy ◽  
The United States ◽  
Policy Uncertainty ◽  
Significant Finding ◽  
Economic Policy Uncertainty ◽  
The United Kingdom ◽  
Long Run ◽  
The Us ◽  
The Uk ◽  
The Impact

The purpose of this study is to investigate the effects of the COVID-19 pandemic on economic policy uncertainty in the US and the UK. The impact of the increase in COVID-19 cases and deaths in the country and the increase in the number of cases and deaths outside the country may vary. To examine this, the study employs the bootstrap ARDL cointegration approach from March 8, 2020 to May 24, 2020. According to the bootstrap ARDL results, a long-run equilibrium relationship is confirmed for five out of the ten models. The long-term coefficients obtained from the ARDL models suggest that an increase in COVID-19 cases and deaths outside of the UK and the US has a significant effect on economic policy uncertainty. The US is more affected by the increase in the number of COVID-19 cases. The UK, on the other hand, is more negatively affected by the increase in the number of COVID-19 deaths outside the country than the increase in the number of cases. Moreover, another significant finding from the study demonstrates that COVID-19 is a factor of great uncertainty for both countries in the short-term.

scholarly journals COVID-19 Induced Economic Uncertainty: A Comparison between the United Kingdom and the United States

2020 ◽  
Author(s):  
Ugur Korkut Pata
Keyword(s):  
Economic Policy ◽  
The United States ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The United Kingdom ◽  
Long Run ◽  
Equilibrium Relationship ◽  
The Us ◽  
The Uk ◽  
The Impact

Abstract The purpose of this study is to investigate the effects of the COVID-19 pandemic on economic policy uncertainty in the US and the UK. The impact of the increase in COVID-19 cases and deaths in the country, and the increase in the number of cases and deaths outside the country may vary. To examine this, the study employs bootstrap ARDL cointegration approach from March 8, 2020 to May 24, 2020. According to the bootstrap ARDL results, a long-run equilibrium relationship is confirmed for five out of the 10 models. The long-term coefficients obtained from the ARDL models suggest that an increase in COVID-19 cases and deaths outside of the UK and the US has a significant effect on economic policy uncertainty. The US is more affected by the increase in the number of COVID-19 cases. The UK, on the other hand, is more negatively affected by the increase in the number of COVID-19 deaths outside the country than the increase in the number of cases. Moreover, another important finding from the study demonstrates that COVID-19 is a factor of great uncertainty for both countries in the short-term.

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.

scholarly journals Do International Capital Flows, Institutional Quality Matter for Innovation Output: The Mediating Role of Economic Policy Uncertainty

2021 ◽  
Vol 7 (2) ◽  
pp. 141
Author(s):  
Md Qamruzzaman ◽  
Tahar Tayachi ◽  
Ahmed Muneeb Mehta ◽  
Majid Ali
Keyword(s):  
Economic Policy ◽  
Institutional Quality ◽  
Empirical Literature ◽  
Policy Uncertainty ◽  
Causality Test ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Short Run ◽  
Innovation Output ◽  
The Impact

The determinants of innovation output in empirical literature were extensively investigated by considering diverse sets of variables. Still, the impact of economic policy uncertainty on innovation output is yet to unleash. To mitigate the existing research gap, the study investigated the association between EPU and innovation output, considering a panel of 22 countries over 1997–2018. The study employed a dynamic panel quantile regression and system-GMM specification causality test for discovering elasticity and directional association both in the long-run and the short-run. Study findings disclosed negative statistically significant effects running from EPU to innovation output except innovation measured by R&D. Moreover, institutional quality and FDI exposed positive and statistically significant association with innovation output. In terms of directional causality, unidirectional causality running from EPU and FDI to innovation output was established, whereas bidirectional causality was established between institutional quality and innovation output.

scholarly journals Threshold Cointegration Approach for Assessing the Impact of US Economic Policy Uncertainty on Monetary Policy Decision of African Countries

2021 ◽  
Vol 68 (4) ◽  
pp. 509-528
Author(s):  
Prince Mensah Osei ◽  
Anokye Adam
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Economic Policy ◽  
Policy Uncertainty ◽  
Threshold Cointegration ◽  
African Countries ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
The Us ◽  
The Impact

This study uses threshold cointegration technique to ascertain the relationship between United States (US) economic policy uncertainty (EPU) and monetary policy rate (MPR) of each of the four African countries, namely Egypt, Ghana, Namibia and South Africa using monthly data from March 1998 to April 2020. The impact of US EPU on MPR of each country is assessed by examining the linear cointegration, asymmetric cointegration and causal relationships in the frequency domain between the US EPU and MPR of each African country. The findings provide evidence of long-run threshold cointegration and the adjustment mechanisms towards long-run equilibrium are asymmetric in the short run for the MPR models for Ghana, Namibia and South Africa in the M-TAR specification except for Egypt’s MPR model which does not provide evidence of asymmetric adjustment towards the equilibrium position. The bivariate analysis performed in the spectral frequency domain suggests unidirectional causality between US EPU and MPR of each country and that, the US EPU influences the MPR of each country in the long run. The findings provide important guidelines to monetary policy reviewers to take policy stance that would stimulate economic growth amid US policy uncertainties.

scholarly journals The Impact of Economic Policy Uncertainty and Financial Stress in the United Kingdom on Bilateral Exports of Goods: Pre-Brexit Evidence

2021 ◽  
pp. 27-49
Author(s):  
Dejan Romih ◽  
Keyword(s):  
Economic Policy ◽  
Panel Study ◽  
Financial Stress ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The United Kingdom ◽  
Systemic Stress ◽  
The Uk ◽  
Bilateral Exports ◽  
The Impact

Brexit was a wake-up call for the UK and the EU. There is a growing body of evidence that the referendum results contributed to an increase in economic policy uncertainty and financial stress (including systemic stress) in the UK. In this chapter, I present the findings of a panel study designed to estimate the impact of economic policy uncertainty and financial stress in the UK on bilateral exports of goods. Using the panel data gravity model of international trade, I found that economic policy uncertainty in the UK negatively affects bilateral exports of goods, which is consistent with my expectations. The results for financial and systemic stress are not statistically significant.

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

Mathematics ◽  
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.

Open Door System and Endogenous Growth in Indian Economy: An Empirical Analysis on the Role of Human Capital and R&D in Explaining Industrial Productivity

2021 ◽  
Vol 46 (1) ◽  
pp. 24-37
Author(s):  
Arjun K. ◽  
Sanjay Kumar ◽  
A. Sankaran ◽  
Mousumi Das
Keyword(s):  
Human Capital ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Endogenous Growth ◽  
Value Added ◽  
Capital Formation ◽  
Knowledge Capital ◽  
Test Technique ◽  
Long Run ◽  
The Impact

The present study investigates the impact of human capital, knowledge capital which is a function of human capital, and real exchange rate scenario in explaining long-run industrial total factor productivity (TFP) from 1980 to 2015 on the theoretical basis of the open endogenous growth model. The variables employed in the contemporary study include manufacturing value added (MNVA) as industrial output measure, gross fixed capital formation (GFCF) as a measure of capital and labour input which is measured using employment data. Gross enrolment ratio (GER) is taken as a measure for human capital formation, expenditure on research and development (R&D) as a proxy for knowledge capital, and real exchange rate indicates global economic shocks. The study involves estimating TFP for Industrial Sector during the post-liberalization period by employing Cobb-Douglas production function. The ARDL bounds test technique for cointegration revealed long-run relation among the varying factors studied. The Toda-Yamamoto causality test concluded bi-directional causality running between, R&D expenditure and Industrial TFP which sends a strong signal to the policymakers for a well-framed long-term integrated approach for human & knowledge capital formation which will act as a strong impetus for manufacturing firms to come up in terms of augmenting production and productivity and expanding foreign market horizon. JEL Classification: D24, E2, J24

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.

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