scholarly journals The Impact of Policy Uncertainty on Macro-Economy of Developed and Developing Countries

2018 ◽  
Vol 10 (1) ◽  
pp. 33 ◽  
Author(s):  
Seabelo T. Nyawo ◽  
Roscoe Bertrum Van Wyk
Keyword(s):  
Economic Policy ◽  
Industrial Production ◽  
Policy Uncertainty ◽  
Macroeconomic Variables ◽  
Economic Policy Uncertainty ◽  
Us Economy ◽  
The Us ◽  
Structural Vars ◽  
The One ◽  
The Impact

This paper investigates the effects of a US economic policy uncertainty shock on Indian macroeconomic variables with a number of Structural VARs. This study models the economic policy uncertainty index as constructed by Baker et al. (2013). The study also uses a set of macroeconomic variables for India such as inflation, industrial production and nominal interest rate. The objective of the study is to identify the potential impacts of economic policy uncertainty shocks from the US economy to the Indian economy. According to the SVARs, a one standard deviation shock to the US economic policy uncertainty leads to a statistically significant decline in the Indian industrial production of -0.294% and in the Indian inflation of -0.032%. India shows to be resistant to US policy uncertainty. Furthermore, the study finds that the contribution of the US economic policy uncertainty on the Indian macroeconomic variables is shown to be significantly larger than the one exerted by the Indian uncertainty shock. 

scholarly journals The Impact of Policy Uncertainty on Macro-Economy of Developed and Developing Countries

2018 ◽  
Vol 10 (1(J)) ◽  
pp. 33-41
Author(s):  
Seabelo T. Nyawo ◽  
Roscoe Bertrum Van Wyk
Keyword(s):  
Economic Policy ◽  
Industrial Production ◽  
Policy Uncertainty ◽  
Macroeconomic Variables ◽  
Economic Policy Uncertainty ◽  
Us Economy ◽  
The Us ◽  
Structural Vars ◽  
The One ◽  
The Impact

This paper investigates the effects of a US economic policy uncertainty shock on Indian macroeconomic variables with a number of Structural VARs. This study models the economic policy uncertainty index as constructed by Baker et al. (2013). The study also uses a set of macroeconomic variables for India such as inflation, industrial production and nominal interest rate. The objective of the study is to identify the potential impacts of economic policy uncertainty shocks from the US economy to the Indian economy. According to the SVARs, a one standard deviation shock to the US economic policy uncertainty leads to a statistically significant decline in the Indian industrial production of -0.294% and in the Indian inflation of -0.032%. India shows to be resistant to US policy uncertainty. Furthermore, the study finds that the contribution of the US economic policy uncertainty on the Indian macroeconomic variables is shown to be significantly larger than the one exerted by the Indian uncertainty shock. 

DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?

2019 ◽  
Vol 14 (04) ◽  
pp. 1950016
Author(s):  
RANJEETA SADHWANI ◽  
SURESH KUMAR OAD RAJPUT ◽  
ASAD ALI-RIND ◽  
MUHAMMAD TAHIR SULEMAN
Keyword(s):  
Economic Policy ◽  
Real Estate ◽  
Positive Relationship ◽  
Real Estate Investment Trusts ◽  
Policy Uncertainty ◽  
Real Estate Investment ◽  
Macroeconomic Variables ◽  
Economic Policy Uncertainty ◽  
Investment Trusts ◽  
The Impact

This study aims to find the impact of change in economic policy uncertainty (EPU) on the returns and volatilities of 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985–2016. The results indicate that the change in EPU has a positive relationship with volatility and a negative one with the REITs returns. Among EPU components, news-based component has the major impact than the others. Change in economic policy uncertainty has a significant impact on the returns of all the indices except hybrid, healthcare and unclassified REITs after controlling for macroeconomic variables. Whereas, the volatility is mainly explained by its own past values and macroeconomic variables.

THE IMPACT OF ECONOMIC POLICY UNCERTAINTY ON INDUSTRIAL PRODUCTION IN THE UNITED STATES: PRE-PANDEMIC EVIDENCE

2021 ◽  
Author(s):  
Dejan Romih
Keyword(s):  
United States ◽  
Economic Policy ◽  
Industrial Production ◽  
Vector Autoregression ◽  
The United States ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The World ◽  
Growing Body ◽  
The Impact

Although the Covid-19 pandemic (the Great Lockdown), which began in March 2020, is not over yet (mainly due to new SARS-CoV-2 variants, such as Delta), there is already a growing body of evidence that suggests that the Covid-19 pandemic has contributed to an increase in economic policy uncertainty in the United States and the rest of the world. In this paper, I examine the impact of economic policy uncertainty on industrial production in the United States before the Covid-19 pandemic. Using vector autoregression, I found that industrial production in the United States responds negatively to a positive economic policy uncertainty shock in the United States. This suggests that US economic policymakers need to prevent economic policy uncertainty in the United States

scholarly journals Preventing crash in stock market: The role of economic policy uncertainty during COVID-19

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Peng-Fei Dai ◽  
Xiong Xiong ◽  
Zhifeng Liu ◽  
Toan Luu Duc Huynh ◽  
Jianjun Sun
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Negative Correlation ◽  
Crash Risk ◽  
Policy Uncertainty ◽  
Stock Market Crash ◽  
Economic Policy Uncertainty ◽  
The Us ◽  
The Impact

AbstractThis paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.

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.

ECONOMIC POLICY UNCERTAINTY AND THE REAL ECONOMY OF SINGAPORE

2020 ◽  
pp. 1-25
Author(s):  
KHANDOKAR ISTIAK
Keyword(s):  
Economic Policy ◽  
Industrial Production ◽  
Policy Uncertainty ◽  
Real Economy ◽  
Structural Vector Autoregression ◽  
Economic Policy Uncertainty ◽  
Vector Autoregression Model ◽  
Uncertainty Index ◽  
Trading Partners ◽  
The Impact

This paper investigates (for the first time) the impact of the economic policy uncertainties of Singapore and its major trading partners on Singapore’s industrial production and exports. The study uses monthly data from January 2003 to August 2019, correlation analysis, spillover index analysis and a structural vector autoregression model to perform the investigation. Using the newly invented Singaporean economic policy uncertainty index, the research finds that it is a good predictor of industrial production. It is found that, in general, uncertainty depresses Singapore’s industrial production and exports. The paper suggests that policymakers promote new entrepreneurship and build a skilled labor force to minimize the impact of uncertainty on the economy of Singapore.

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.

Momentum strategies in times of economic policy uncertainty

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jessica Paule-Vianez ◽  
Júlio Lobão ◽  
Raúl Gómez-Martínez ◽  
Camilo Prado-Román
Keyword(s):  
Economic Policy ◽  
Policy Uncertainty ◽  
Momentum Effect ◽  
Economic Cycle ◽  
Momentum Strategies ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Point Increase ◽  
The Us ◽  
The Impact

Purpose This paper aims to evaluate the influence of economic policy uncertainty (EPU) on the momentum effect, analysing its influence depending on the economic cycle and in different quantiles. Design/methodology/approach To determine the influence of EPU in the momentum effect taking into account the economic cycle and the level of the quantile, linear regression and quantile regression have been applied for the period from 2 January 1985 to 30 April 2019 for the US stock market. Findings It is shown that an increased feeling of insecurity associated with EPU reduces the momentum effect, especially in times of recession. Distinguishing by quantiles, an asymmetry in the impact of EPU in the momentum effect is discovered, finding that EPU reduces (increases) the profits of momentum strategies in the lowest (highest) quantiles. In the highest quantiles, an investor can obtain higher extraordinary returns with this strategy. For example, in the highest quantile, a one-point increase in the EPU levels would have increased the daily profitability by 12.7 basis points. These findings have important implications for investors and policymakers. Originality/value To the best of the authors’ knowledge, this is the first paper that evaluates the influence of EPU on the momentum effect by conducting an analysis based on the economic cycle and different quantiles, demonstrating how these factors are relevant in the influence of this uncertainty in the momentum anomaly.

Momentum return volatility, uncertainty, and energy prices: evidence from major international equity markets

2020 ◽  
Vol 12 (4) ◽  
pp. 411-433
Author(s):  
Spyros Spyrou
Keyword(s):  
Economic Policy ◽  
Relevant Literature ◽  
Decomposition Analysis ◽  
Panel Var ◽  
Policy Uncertainty ◽  
Energy Prices ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
The Us ◽  
The Impact

PurposeThis paper examines the impact of macroeconomic and risk factors on the profitability and volatility of professional momentum portfolios for the US, the UK, Japan and Germany, for the period 1998–2018. Many of the factors employed, such as energy price changes and economic policy uncertainty, have been largely neglected in the relevant literature.Design/methodology/approachRegression analysis, VECTOR AUTOREGRESSION (VAR), Panel-VAR, Variance Decomposition AnalysisFindingsThe results indicate that, since the financial crises in the US and the EU, energy prices and economic-policy uncertainty have become important return determinants, along with market-related uncertainty that seems to have a stable impact over time, especially for the U.S. and U.K. portfolios.Research limitations/implicationsEconomic policy uncertainty significantly affects contemporaneous momentum returns in the US, UK and Japan, mainly between 2007 and 2018, while market-related uncertainty affects all markets during all subperiods. In addition, the variance of market-related uncertainty (VIX) explains a large percentage of the variance in the momentum returns for the US, UK and Germany.Practical implicationsThe main implication of the findings for portfolio managers is that a manager may increase (decrease) exposure to the momentum factor during optimistic (pessimistic) periods and during periods of rising energy prices (high economic policy and market-related uncertainty).Originality/valueThe paper examines the impact of factors, such as energy prices and economic policy uncertainty, which have been largely neglected in the relevant literature on the possible drivers of the momentum strategies. It employs professional portfolios that are often used in practice as benchmark indexes.

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