Cross-country determinants of economic policy uncertainty spillovers

Balli, Faruk; Uddin, Gazi Salah; Hasan, Mudassar; Yoon, Seong‐Min

doi:10.1016/j.econlet.2017.05.016

Cited by 130 publications

(59 citation statements)

References 8 publications

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“…Second, there is previous research on international EPU spillovers. Klößner and Sekkel (2014), for example, find significant spillovers between overall EPU indices for the US, Canada and several European economies, while Yin and Han (2014), Balli et al (2017) and Liow et al (2018) obtain similar results for broader sets of countries, including Japan. 4 Colombo (2013), , and Clausen et al (forthcoming) do not exclusively focus on cross-country EPU spillovers, but nonetheless also document their significance.…”

Section: Introductionmentioning

confidence: 86%

Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility

Thiem

2019

Open Econ Rev

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Section: Introductionmentioning

confidence: 86%

Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility

Thiem

2019

Open Econ Rev

View full text Add to dashboard Cite

“…This enabled academic community to investigate the spillover network of EPU across various countries. In this vein, several studies have examined the cross-country network dynamics of EPU, including [8][9][10][23][24][25]. However, there is a lack of clarity about the relationship that EPU network may have with other network structures.…”

Section: The Theoretical Issuesmentioning

confidence: 99%

“…Higher uncertainty around economic policies also raises stock market fear through the stochastic discount factor, which shoots up risk premia and thereby fear in stock markets [5]. Given the increased levels of economic and financial integration, however, the domestic EPU shocks are not just restricted to the source country, but rather spillover across borders [8], which could amplify the cross-country transmission of fear (other studies that examine the cross-country spillovers of EPU include Yin and Han [9] and Kang and Yoon [10]). Accordingly, Liow et al [11] suggest that the dynamic connectedness of EPU across major economies leads to stress spillovers among their financial markets.…”

Section: Introductionmentioning

confidence: 99%

Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities

et al. 2020

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The implied volatility index is a forward-looking indicator of fear among stock market participants. We examine the extent to which the connectedness of fear among global stock markets is driven by the cross-country connectedness of economic policy uncertainty (EPU). We use data on stock market fear and EPU indices for 13 countries, which spans from January 2011 to December 2018. To measure the connectedness among stock market fear and EPU of our sample countries, we employ two connectedness models. A cross-sectional regression model is further employed to ascertain the extent to which EPU connectedness between two countries explains the connectedness of fear between their stock markets, while controlling for bilateral linkage and country-specific factors. We find that EPU connectedness between any two partner countries significantly drives the connectedness of fear between their stock markets. The driving potential not only holds for short- and long-term connectedness, but also after controlling for bilateral linkages (bilateral trade, geographical distance, common language) and country-specific (trade and financial openness of the transmitter country) factors indicating robustness in our results.

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“…In addition, trade by these economies with the rest of the world has been growing at a fast rate, with the strong economic performance of these countries linked to the high level of foreign direct investment in the private sector (Mensi et al, 2014;Ruzima and Boachie, 2018). Naturally, volatility in these key emerging stock markets is likely to contribute to uncertainty in global equity markets through the trade channel (Balli et al, 2019), and hence, accurate prediction of financial market volatility in this bloc is of high importance considering the growth trends mentioned above.…”

Section: Introductionmentioning

confidence: 99%

The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles

Bouri

Demirer

Gupta

et al. 2020

Journal of Forecasting

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This paper explores the role of business cycle proxies, measured by the output gap at the global, regional and local levels, as potential predictors of stock market volatility in the emerging BRICS nations. We observe that the emerging BRICS nations display a rather heterogeneous pattern when it comes to the relative role of idiosyncratic factors as a predictor of stock market volatility. While domestic output gap is found to capture significant predictive information for India and China particularly, the business cycles associated with emerging economies and the world in general are strongly important for the BRIC countries and weakly for South Africa, especially in the post-global financial crisis era. The findings suggest that despite the increase in the financial integration of world capital markets, emerging economies can still bear significant exposures to idiosyncratic risk factors, an issue of high importance for the profitability of global diversification strategies.

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Cross-country determinants of economic policy uncertainty spillovers

Cited by 130 publications

References 8 publications

Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility

Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility

Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities

The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles

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