Does US Economic Policy Uncertainty matter for European stock markets volatility?

Mei, Dexiang; Zeng, Qing; Zhang, Yaojie; Hou, Wei

doi:10.1016/j.physa.2018.08.019

Cited by 68 publications

(39 citation statements)

References 30 publications

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“…While several studies investigated the effects of elections on stock markets (Białkowski, Gottschalk, & Wisniewski, 2008;Li & Born, 2006;Nippani & Arize, 2005;Nippani & Medlin, 2002;Pástor & Veronesi, 2013), others focused on the banking sector (Chen & Liu, 2013;Francis, Hasan, & Zhu, 2014;Önder & Özyıldırım, 2013). In general, the literature has highlighted the importance of political uncertainty and its role in generating uncertainty and reinforcing vulnerability in financial markets Guo et al, 2018;Mei et al, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

El-Sayed

Yarovaya

2019

Journal of International Financial Markets, Institutions and Mo

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In this paper we analyse the impact of instability caused by the Arab Spring on the comovements and volatility spillovers of aggregated Financial Stress Indices for eight MENA countries. Using a dynamic frequency connectedness framework, we conclude that stress transmission between markets is higher at low frequencies than at high frequencies, which implies that MENA markets are slow in adjusting to the information they receive. The Global Financial Crisis generated stronger spillover effects between MENA markets than the political turmoil of the Arab Spring. These results are useful for investors with different investment horizons, and have policy implications for the maintenance of financial stability in this region.

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Section: Literature Reviewmentioning

confidence: 99%

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

El-Sayed

Yarovaya

2019

Journal of International Financial Markets, Institutions and Mo

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“…Third, we assess the effect of COVID-19 on oil prices, looking to the impact of the total number of new infection cases, as well as to 3 We notice that the relationship between economic uncertainty, financial volatility and oil prices is characterized by reverse causality. In fact, even the economic policy uncertainty represents a reliable cause of financial markets volatility as shown by Antonakakis et al (2013), Li et al (2019), Mei et al (2018), Phan et al (2020), Su et al, (2019), Tiwari et al (2019), Zhenghui and Junhao (2019). 4 Albulescu (2020) already investigated the effect of COVID-19 numbers on the financial markets volatility and reported a positive and significant impact.…”

Section: Introductionmentioning

confidence: 99%

Coronavirus and Oil Price Crash

2020

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Coronavirus (COVID-19) creates fear and uncertainty, hitting the global economy and amplifying the financial markets volatility. The oil price reaction to COVID-19 was gradually accommodated until March 09, 2020, when, 49 days after the release of the first coronavirus monitoring report by the World Health Organization (WHO), Saudi Arabia floods the market with oil. As a result, international prices drop with more than 20% in one single day. Against this background, the purpose of this paper is to investigate the impact of COVID-19 numbers on crude oil prices, while controlling for the impact of financial volatility and the United States (US) economic policy uncertainty. Our ARDL estimation shows that the COVID-19 daily reported cases of new infections have a marginal negative impact on the crude oil prices in the long run. Nevertheless, by amplifying the financial markets volatility, COVID-19 also has an indirect effect on the recent dynamics of crude oil prices.

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“…Chen et al, 2020;Duca and Saving, 2018). Indeed, most of existing studies address the impact of EPU on economic activity (Nyamela et al, 2019;Sahinoz and Cosar, 2018), financial volatility (Mei et al, 2018;Tiwari et al, 2019), bank valuation (He and Niu, 2018) or firm performance (Iqbal et al, 2019;Wu et al, 2020). Consequently, we add to the set of analyses investigating the drivers of EPU, with a focus on the officially reported coronavirus numbers.…”

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confidence: 99%

Do COVID-19 and Crude Oil Prices Drive the US Economic Policy Uncertainty?

Albulescu

2020

SSRN Journal

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This paper investigates the effect of the novel coronavirus and crude oil prices on the United States (US) economic policy uncertainty (EPU). Using daily data for the period January 21 -March 13, 2020, our Autoregressive Distributed Lag (ARDL) model shows that the new infection cases reported at global level, and the death ratio, have no significant effect on the US EPU, whereas the oil price negative dynamics leads to increased uncertainty. However, analyzing the situation outside China, we discover that both new case announcements and the COVID-19 associated death ratio have a positive influence on the US EPU.

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Does US Economic Policy Uncertainty matter for European stock markets volatility?

Cited by 68 publications

References 30 publications

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

Financial stress dynamics in the MENA region: Evidence from the Arab Spring

Coronavirus and Oil Price Crash

Do COVID-19 and Crude Oil Prices Drive the US Economic Policy Uncertainty?

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