scholarly journals Impact of Economic Policy Uncertainty on the Distribution of China’s Stock Returns: An External Perspective

2019 ◽  
Vol 23 (4) ◽  
pp. 667-677
Author(s):  
Yanyun Yao ◽  
Haijing Yu ◽  
Huimin Wang ◽  
Tsung-Kuo Tien-Liu ◽  
◽  
...  
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Policy Uncertainty ◽  
Return Distribution ◽  
Full Sample ◽  
Economic Policy Uncertainty ◽  
Out Of Sample ◽  
The Mean ◽  
The Impact ◽  
External Uncertainty

This study examines the impact of external economic policy uncertainty on the distribution of China’s stock returns. The Chinese Economic Policy Uncertainty (CEPU) and global EPU (GEPU) indexes compiled by [1] are employed as a measurement of the external uncertainty. An empirical study is conducted using the GARCH-MIDAS framework. The first innovation of this study is extending the symmetric GARCH-MIDAS model to the case of GJR; the leverage effect is therefore considered. The second innovation is considering the impact of EPU on the overall distribution of returns, rather than on the mean or volatility. Full-sample fitting shows that CEPU can explain around 14% of the return volatility, and CEPU together with GEPU can explain about 17%. Out-of-sample recursive forecasting demonstrates that it is meaningful to extend the models to GJR; the EPU information improves the return distribution forecasting. However, the impact of EPUs is limited, which implies that external uncertainty is quite different from the “internal” economic policy uncertainty directly driving the China’s stock market.

scholarly journals Evidence of Economic Policy Uncertainty and COVID-19 Pandemic on Global Stock Returns

2022 ◽  
Vol 15 (1) ◽  
pp. 28
Author(s):  
Thomas Chinan Chiang
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Stock Return ◽  
Negative Impact ◽  
Global Market ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Impact ◽  
Global Stock ◽  
The U.S

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a country’s stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable negative effect from global EPU to U.S. stocks. Evidence suggests that the COVID-19 pandemic has a negative impact that significantly affects stock return worldwide. This study also finds an indirect COVID-19 impact that runs through a change in domestic EPU and, in turn, affects stock return. Evidence shows significant COVID-19 effects that change relative stock returns between the U.S. and global markets, creating a decoupling phenomenon.

scholarly journals Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

2021 ◽  
Author(s):  
Noureddine Benlagha ◽  
Wael Hemrit
Keyword(s):  
Economic Policy ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Bond Yields ◽  
Macroeconomic Factors ◽  
Full Sample ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
The Common ◽  
The Impact

AbstractThis paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.

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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