Economic policy uncertainty shocks, economic activity, and exchange rate adjustments

Nilavongse, Rachatar; Rubaszek, Michał; Uddin, Gazi Salah

doi:10.1016/j.econlet.2019.108765

Cited by 83 publications

(67 citation statements)

References 13 publications

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“…In such situations international uncertainty could create immediate speculative opportunities that drives imports. Moreover, by weakening the economies of partner countries, EPU could weaken the value of foreign currencies, making imports relatively cheaper (see, Nilavongse et al, 2020). The result is consistent with the short run findings of Sharma and Paramati (2021) who employ the Augmented Distributed Lag framework to study the impact of economic policy uncertainty on the Indian commodity imports.…”

Section: The Effect Of Economic Policy Uncertainty On Imports (Ols Ansupporting

confidence: 79%

“…Economic policy uncertainty has also been documented to increase credit constraints (Gilchrist et al, 2014), shrink production (Nilavongse et al, 2020;Wind and Grabska, 2016), and depress employment and output . These negative economic outcomes do not only hinder economic growth, but also, dampens the extensive and intensive margins of trade.…”

Section: Economic Policy Uncertainty and Trade (Theory And Empirics)mentioning

confidence: 99%

“…This consequently affects the demand and supply of goods and hence trade. A recent study by Nilavongse et al (2020), find that domestic EPU shocks led to the depreciation of the British pound while domestic industrial production decline in response to global EPU shocks. This paper examines the impact of EPU on bilateral trade between 126 countries spanning 1996-2014.…”

Section: Introductionmentioning

confidence: 99%

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Economic Policy Uncertainty and International Trade: A Gravity Model Approach

Mawusi

2020

Preprint

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Considering the increasing exposure of firms to global policy shocks, this paper study the bilateral trade adjustments to the increases in economic policy uncertainty (EPU) of 126 countries over the period 1996-2014. We employ a gravity model and a robust Poisson Pseudo Maximum Likelihood (PPML) estimator that mitigates the problem of heteroscedasticity and zero trade flows. The results show that large variations in bilateral trade can be explained by the changes in economic policy uncertainty. Whereas heightened EPU from partner countries has a positive spillover effect on imports to the reporting country, we find a negative and statistically significant effect of domestic EPU on exports.

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Section: The Effect Of Economic Policy Uncertainty On Imports (Ols Ansupporting

confidence: 79%

Section: Economic Policy Uncertainty and Trade (Theory And Empirics)mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Economic Policy Uncertainty and International Trade: A Gravity Model Approach

Mawusi

2020

Preprint

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“…The policy environment is “the set of laws, regulations, administrative procedures and policies formally sanctioned by the government that impact on a firm’s profitability by altering its costs or revenues” (Delios & Henisz, 2003 , p. 229). EPU has risen globally due to factors such as the ongoing U.S.-China trade dispute, the COVID-19 pandemic (Altig et al, 2020 ), exit of the U.K. from the European Union (Nilavongse et al, 2020 ), and other political and geopolitical factors. Studies suggest EPU affects firm-level outcomes such as asset returns (Brogaard & Detzel, 2015 ), firm-level investment (Chen et al, 2019 ; Gulen & Ion, 2016 ; Kang et al, 2014 ), quality of financial reporting and firm value (Yung & Root, 2019 ), firm performance (Muriithi et al, 2020 ), firm acquisitiveness (Nguyen & Phan, 2017 ), innovation activities (Bhattacharya et al, 2017 ), the cost of external financing (Gilchrist et al, 2014 ), and cash holdings (Phan et al, 2019 ).…”

Section: Introductionmentioning

confidence: 99%

Managerial entrenchment and corporate social responsibility engagement: the role of economic policy uncertainty

et al. 2021

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The behavioral theory of corporate governance is employed to investigate the relationship between managerial entrenchment and corporate social responsibility (CSR) engagement. Effective corporate governance is argued to reduce managerial entrenchment, thereby increasing CSR engagement. The role of economic policy uncertainty (EPU) is investigated as a moderating variable in this relationship, such that high levels of EPU will increase the impact of entrenchment on CSR engagement. These arguments are supported using a panel of 386 US firms from 2011 to 2018 representing 3,088 firm-year observations in a variety of industries. In supplementary analysis, the CSR measure is disaggregated in order to provide further insight regarding these relationships as they pertain to the individual CSR dimensions under study. Findings inform research regarding the entrenchment-CSR link in particular environmental contexts. Practical implications include potential governance guidelines for boards of directors; stakeholder management given the policy environment; and the impact of government decisions as they affect policy uncertainty, firm actions, and CSR engagement.

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“…based on E.M.H. (Dyhrberg, 2016;Jens, 2017;Drobetz et al, 2018;Nilavongse et al, 2020). We apply multifractal theory's methods to test the stock markets trading volumes and economic uncertainty dependence relationship considering the increasing complexity of the capital market.…”

Section: Introductionmentioning

confidence: 99%

Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction

Cai

Tao

Yan

2020

Economic Research-Ekonomska Istraživanja

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This article mainly studies the interaction between the economic uncertainty and stock market trading volumes changes before and during Sino-U.S. trade friction using multifractal detrended fluctuation analysis (M.F.-D.F.A.) and multifractal detrended crosscorrelation analysis (M.F.-D.C.C.A.). Our research aims to reveal whether the economic uncertainty increased by Sino-U.S. trade friction affects stock market trading volume more susceptible, as well as how policymaker strengthen risk management and maintain financial stability. The results show that the dynamic volatility linkages between economic uncertainty and stock market trading volumes changes are multifractal, and the cross-correlation of volatility linkages are anti-persistent. Through the rolling-windows analysis, we also find that the economic uncertainty and trading volumes are anti-persistent dynamic cross-correlated. This means that while economic uncertainty increases, trading volume decreases. Besides, Sino-U.S. trade friction has impact on the cross-correlated behaviour significantly, suggesting that stock markets' risks are relatively large and trading volumes changes are more susceptible by economic uncertainty during Sino-U.S. trade friction in the U.S. Our study complements existing literature about the stock markets trading volumes and economic uncertainty dependence relationship by multifractal theory's methods. The overall findings imply that the increased economic uncertainty caused by Sino-U.S. trade friction exacerbates financial risks, which are useful for policymakers and investors.

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Economic policy uncertainty shocks, economic activity, and exchange rate adjustments

Cited by 83 publications

References 13 publications

Economic Policy Uncertainty and International Trade: A Gravity Model Approach

Economic Policy Uncertainty and International Trade: A Gravity Model Approach

Managerial entrenchment and corporate social responsibility engagement: the role of economic policy uncertainty

Stock market trading volumes and economic uncertainty dependence: before and during Sino-U.S. trade friction

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