A Random Walk Down the Economic Policy Street: Effects of Economic Policy Uncertainty on Forecasting Future Real Economic Activity in the Euro Area and the UK

2017 ◽  
Author(s):  
Juha-Pekka Junttila ◽  
Juuso Vataja
Keyword(s):  
Economic Policy ◽  
Random Walk ◽  
Euro Area ◽  
Economic Activity ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Uk

scholarly journals The Role of Economic Uncertainty in UK Stock Returns

2019 ◽  
Vol 12 (1) ◽  
pp. 5 ◽  
Author(s):  
Jun Gao ◽  
Sheng Zhu ◽  
Niall O’Sullivan ◽  
Meadhbh Sherman
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Economic Activity ◽  
Policy Uncertainty ◽  
Economic Uncertainty ◽  
Economic Policy Uncertainty ◽  
Macroeconomic Uncertainty ◽  
Uncertainty Indices ◽  
The Uk

We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty indices for the UK using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. We then estimated stock sensitivity to a range of macroeconomic uncertainty indices and economic policy uncertainty indices. The evidence suggests that economic activity uncertainty and UK economic policy uncertainty have power in explaining the cross-section of UK stock returns, while UK inflation, EU economic policy and US economic policy uncertainty factors are not priced in stock returns for the UK.

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.

Impact of economic sentiment and economic policy uncertainty on travel and leisure stock return

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abobaker Al.Al. Hadood ◽  
Farid Irani
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Stock Index ◽  
Policy Uncertainty ◽  
Medium Term ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
European Economic ◽  
The Uk ◽  
Stock Index Returns

PurposeThis paper considers the role of economic sentiment and economic policy uncertainty (both domestic and European) in explaining the changes in the contemporaneous and future travel and leisure stock index returns in top European Union (EU) tourism destinations, namely, in France, Germany, Spain and the UK.Design/methodology/approachThe authors conducted the ordinary least square (OLS) regression estimations to investigate the impact of changes in economic sentiment and economic policy uncertainty on travel and leisure stock returns. Furthermore, the authors used predictive regressions to determine whether economic sentiment and economic policy uncertainty are useful predictors over the short- or medium-term for travel and leisure stock returns.FindingsEmpirical results revealed that, in France and Spain, the changes in regional economic sentiments predominantly and positively affected travel and leisure stock index returns. Also, results indicated that changes in European economic sentiment have a strong positive effect on the future travel and leisure stock returns in Spain and the UK over the short run, while in France, changes in European economic policy uncertainty have a weak negative effect on the future travel and leisure stock returns over the medium-term.Research limitations/implicationsThis paper provides valuable practical implications for investors who trade travel and leisure stocks. Traders can use economic sentiment and economic policy uncertainty to establish arbitrageur strategies.Originality/valueThis study is the first to examine the effects of economic sentiment and economic policy uncertainty (both domestic and European) on contemporaneous and future travel and leisure stock returns in a top European tourism destination.

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 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.

Sign in / Sign up

Export Citation Format

Share Document