Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

The study's motivation is to gauge the nexus between economic policy uncertainty and financial innovation for the period 2004M1 to 2018M12 in BRIC nations. For establishing a long-run cointegration study applied Autoregressive Distributed Lagged (ARDL) and asymmetry effects of economic policy uncertainty investigated following nonlinear framework known as NARDL. Furthermore, directional causality is established by performing a non-granger causality test. Cointegration test results of Fpss, Wpss, and tBDM confirmed the long-run association between EPU and financial innovation. On the other hand, the Wald test results proved asymmetry effects furring from EPU to financial innovation both in the long-run and short-run. Referring to asymmetry effects that positive and negative shocks in financial innovation, the study revealed that negative linkage between shocks in EPU and financial innovation in the long-run but short-run effects are insignificant. Furthermore, financial innovation measured by R&D investment exhibits positive linked with shocks in EPU, implying that uncertainty induces innovation in the economy. Refers to directional causality estimation, the study revealed evidence supporting the feedback hypothesis between EPU and financial innovation in all sample countries.

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Economic Policy Uncertainty and Financial Innovation: Is There Any Affiliation?

Frontiers in Psychology ◽

10.3389/fpsyg.2021.631834 ◽

2021 ◽

Vol 12 ◽

Author(s):

Zeng Jia ◽

Ahmed Muneeb Mehta ◽

Md. Qamruzzaman ◽

Majid Ali

Keyword(s):

Economic Policy ◽

Financial Innovation ◽

Wald Test ◽

Policy Uncertainty ◽

Test Statistics ◽

Economic Policy Uncertainty ◽

Distributed Lag ◽

Long Run ◽

Non Linear ◽

Short Run

The impetus of this study is to gauge the nexus between economic policy uncertainty (EPU) and financial innovation in Brazil, Russia, India, China, and South Africa (BRIC) nations for the period from 2004M1 to 2018M12. This study utilizes both the linear and non-linear autoregressive distributed lag (ARDL) models to evaluate the long-run and the short-run association between EPU and financial innovation; furthermore, the causal effects are investigated by following the non-Granger casualty framework. The results of long-run cointegration, i.e., the test statistics of modified F-test (FPSS), standard Wald test (WPSS), and tBDM, reject the null hypothesis and establish the presence of the long-run association between EPU and financial innovation. Conversely, long-run asymmetry cointegration revealed the test statistics of FPSS, WPSS, and tBDM in non-linear estimation. Furthermore, both in the long run and short run, the Wald test results disclose asymmetric effects running from EPU to financial innovation. In regards to the asymmetric impact of EPU on financial innovation, this study documents that the positive and negative shocks in EPU are negatively linked with financial innovation in the long run but are insignificant for short-run effects. Besides, financial innovation measured by R&D investment exhibits a positive linkage with shocks in EPU, implying that uncertainty induces innovation in the economy. Referring to causality effects, this study divulges the feedback hypothesis, i.e., bidirectional causality prevails between EPU and financial innovation in all sample countries.

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

Journal of Open Innovation Technology Market and Complexity ◽

10.3390/joitmc7020141 ◽

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.

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Is Financial Innovation Bestowed or a Curse for Economic Sustainably: The Mediating Role of Economic Policy Uncertainty

Sustainability ◽

10.3390/su13042391 ◽

2021 ◽

Vol 13 (4) ◽

pp. 2391

Author(s):

Shuhua Xu ◽

Md. Qamruzzaman ◽

Anass Hamadelneel Adow

Keyword(s):

Economic Growth ◽

Economic Policy ◽

Financial Innovation ◽

Policy Uncertainty ◽

Economic Policy Uncertainty ◽

Mediating Role ◽

Asymmetric Shocks ◽

Long Run ◽

Short Run

The study’s motivation is to gauge the impact of financial innovation on economic growth from 2004M1 to 2018M12 in India and Pakistan’s economy with the mediating role of economic policy uncertainty. For instituting the possible association between financial innovations, economic policy uncertainty, and economic growth study considered both symmetric and asymmetric frameworks following autoregressive distributed lagged (ARDL) and nonlinear ARDL (NARDL). Furthermore, asymmetric causal relationships were evaluated by performing non-granger causality tests with asymmetric shocks of financial innovation and economic policy uncertainty (EPU). The results of Fpss, Wpss, and tBDM under symmetry framework established the long-run link between EPU, financial innovation, and economic growth in both countries. The results of standard Wald tests demonstrated the asymmetry effects furring from EPU to economic growth and financial innovation to economic growth both in the long-run and short-run. The asymmetry effects of positive and negative shocks in financial innovation revealed a positive linkage with economic growth and a negative tie between asymmetric shocks in EPU and economic growth in the long-run, but short-run magnitudes negligible. Refers to directional causality estimation, the study revealed evidence supporting the feedback hypothesis between EPU and financial innovation in all sample countries.

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TRANSMISI HARGA JAGUNG DI PROVINSI LAMPUNG

Jurnal Agribisnis Indonesia ◽

10.29244/jai.2017.5.1.75-88 ◽

2018 ◽

Vol 5 (1) ◽

pp. 75

Author(s):

Rati Purwasih ◽

Muhammad Firdaus ◽

Sri Hartoyo

Keyword(s):

Time Series Data ◽

Wald Test ◽

Price Transmission ◽

Series Data ◽

Test Results ◽

Causality Test ◽

Long Run ◽

Asymmetric Price Transmission ◽

Short Run ◽

Corn Prices

<em>Corn is one of the leading commodities in Lampung Province. The average corn price received by farmers (producers) from January 2009 to December 2014 amounted to Rp 1.820 per kilogram, while the average price of corn at the consumer level was at Rp 3.205 per kilogram. Corn prices at the consumer level are more volatile when compared with the price of corn at the producer level. The purpose of this study are to analyze the transmission of corn prices from the consumer level to the producer level in Lampung Province. The data used was a monthly time series data from January 2009 to December 2014 (72 month). Asymmetric Error Correction Model (AECM) developed by von Cramon-Taubadel and Loy (1996) was used to analyze corn price transmission from the consumer level to the producer level. Causality test results indicate that corn prices at the consumer level affect the formation of corn prices at the producer level. From AECM estimates obtained, the short run corn price transmission from the consumer level to the producer level was asymmetric. However, the long-run transmission of corn prices from the consumer level to the producer was symmetric. After the Wald test, results obtained showed that there was no prove of asymmetric price transmission from the consumer level to the producer level in the long run.</em>

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Economic Policy Uncertainty Linkages among Asian Countries: Evidence from Threshold Cointegration Approach

Discrete Dynamics in Nature and Society ◽

10.1155/2021/6656176 ◽

2021 ◽

Vol 2021 ◽

pp. 1-15

Author(s):

Prince Mensah Osei ◽

Reginald Djimatey ◽

Anokye M. Adam

Keyword(s):

Economic Policy ◽

Causal Relationship ◽

Policy Uncertainty ◽

Threshold Cointegration ◽

Asian Countries ◽

Asymmetric Adjustment ◽

Economic Policy Uncertainty ◽

Long Run ◽

Short Run ◽

Spectral Frequency

This paper employs the threshold cointegration methodology to assess the long- and short-run dynamics of asymmetric adjustment between economic policy uncertainty (EPU) of China-India, China-Japan, China-Korea, India-Japan, India-Korea, and Japan-Korea pairs using monthly EPU data ranging from January 1997 to April 2020. The relationship between the EPU pairs is examined in terms of Engle-Granger and threshold cointegrations. The findings provide evidence of long-run threshold cointegration and that the adjustments towards the long-run equilibrium position are asymmetric in the short run for the China-India and India-Japan EPU pairs in M-TAR specification with nonzero threshold values. Also, the results suggest a unidirectional causal relationship between China-India, China-Japan, and India-Korea EPU pairs in the long and short run using the spectral frequency domain causality approach. However, a bidirectional causal relationship between China-Korea, India-Japan, and Japan-Korea pairs exists in the long and short run. Therefore, the findings provide some clues to economic policymakers within the Asian subregion for possible policy uncertainty synergies and spillovers among the Asian countries.

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The Nexus Between Economic Policy Uncertainty and Stock Returns of Tourism Companies: Evidence from Turkey

Tourism Review International ◽

10.3727/154427219x15724717569849 ◽

2020 ◽

Vol 23 (3) ◽

pp. 87-98

Author(s):

Alper Aslan ◽

Buket Altinöz

Keyword(s):

Economic Policy ◽

Stock Returns ◽

Policy Uncertainty ◽

Causality Test ◽

Economic Policy Uncertainty ◽

European Economic ◽

Distributed Lag ◽

Autoregressive Distributed Lag ◽

Long Run ◽

Demand Models

This article aims to analyze the nexus between economic policy uncertainty (EPU) and stock returns of tourism companies for Turkey by using the Autoregressive Distributed Lag (ARDL) boundary test for data from 1997 to 2017. The analysis results illustrate that an increase in the global and European economic policy uncertainty index affects negatively to Borsa Istanbul (BIST) tourism index in Turkey in both the short and long run. In addition, global economic policy uncertainty has a greater impact on stock returns of tourism companies in the long run than European economic policy uncertainty. The causality test results support this statement and illustrate a unidirectional causality from global economic policy uncertainty to BIST Tourism Index (XTRZM). These findings proved that Turkey is not only for Europe but also a tourism center, globally. Analysis results implied that especially global economic policy uncertainty is a factor that should be taken into account to explain tourism stock returns. This article proposes that it will be useful to use the EPU index, especially global EPU, as a determinant of tourism stock returns. This result takes the existing theoretical infrastructure one step further than traditional tourism demand models.

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Financial Innovation and Financial Inclusion Nexus in South Asian Countries: Evidence from Symmetric and Asymmetric Panel Investigation

International Journal of Financial Studies ◽

10.3390/ijfs7040061 ◽

2019 ◽

Vol 7 (4) ◽

pp. 61 ◽

Cited By ~ 1

Author(s):

Qamruzzaman ◽

Wei

Keyword(s):

South Asian ◽

Financial Innovation ◽

Positive Association ◽

Wald Test ◽

Financial Inclusion ◽

Asian Countries ◽

Causality Test ◽

Panel Ardl ◽

Long Run ◽

Short Run

This paper examines the nexus between financial inclusion and financial innovation while incorporating financial development and remittance inflows in the case of six South Asian countries—Bangladesh, India, Pakistan, Nepal, Bhutan, and Srilanka—by employing the panel autoregressive distributed lagged model under a linear and nonlinear framework using monthly data over the period 1990M1–2018M12. Further, a Granger-causality test with System GMM specification was performed for assessing directional causality. The study findings from Panel ARDL confirmed the positive association between financial innovation and financial inclusion, which was observed both in the long run and short-run. Considering the nonlinearity in the estimation, the standard Wald test confirms the existence of an asymmetric relationship both in the short-run and in long run horizon regarding causality test results. The study findings support the feedback hypothesis that the presence of bidirectional causality between the financial innovation and financial inclusion is both in the short-run and long run. Since the study findings established a critical relationship between financial innovation and financial inclusion, therefore effective policy guidelines are suggested so that the contribution from financial inclusion and financial innovation can assist in developing a vibrant financial sector.

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Do international capital flows, institutional quality matter for innovation output: the mediating role of economic policy uncertainty

Green Finance ◽

10.3934/gf.2021018 ◽

2021 ◽

Vol 3 (3) ◽

pp. 351-382

Author(s):

Md Qamruzzaman ◽

Keyword(s):

Economic Policy ◽

Institutional Quality ◽

Empirical Literature ◽

Policy Uncertainty ◽

Causality Test ◽

Economic Policy Uncertainty ◽

Mediating Role ◽

Short Run ◽

Innovation Output ◽

The Impact

<abstract> <p>The determinants of innovation output in empirical literature have been extensively investigated by considering diverse sets of variables. Still, the impact of economic policy uncertainty on innovation output is yet to unleash. The study investigates the association between EPU and innovation output to mitigate the existing research gap, considering a panel of 22 countries over 1997–2018. The study employs a dynamic panel quantile regression and system-GMM specification causality test to discover elasticity and directional association both in the long and 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 expose positive and statistically significant association with innovation output. In directional causality, unidirectional causality runs from EPU and FDI to innovation output, whereas bidirectional causality establishes between institutional quality and innovation output.</p> </abstract>

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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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