How Does Economic Policy Uncertainty Connect With the Volatility Spillovers in Asia-Pacific Markets?

Fasanya, Ismail O.; Oyewole, Oluwatomisin J.; Agbatogun, Taofeek

doi:10.46557/001c.21437

Cited by 7 publications

(3 citation statements)

References 12 publications

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“…As joint connectedness fluctuates above 80%, this highlights a significant connectedness between GEPU and the selected regional real estate markets. The findings of prior studies (Youssef et al , 2021 and Fasanya et al , 2021) are consistent with the findings of the current research. Correspondingly, Youssef et al (2021) revealed that financial markets like stock markets were highly connected with the effects of EPU.…”

Section: Descriptive and Empirical Resultssupporting

confidence: 90%

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Time-varying connectedness between global economic policy uncertainty and regional real estate markets: evidence from TVP-VAR extended joint connectedness approach

Zou

Ahmed²,

Tariq

et al. 2023

IJHMA

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Purpose The real estate markets may be significantly influenced by the uncertainty in global economic policy. This paper aims to evaluate the time-varying connectedness between global economic policy uncertainty and regional real estate markets to understand how regional real estate markets and uncertainty in global economic policy are related throughout time. Design/methodology/approach The current study includes the monthly data from April 2007 to August 2022 of major regions (i.e. Asia Pacific, Europe, Africa, North America and Latin America). Moreover, the authors use the time-varying parameter vector auto-regression (TVP-VAR) approach for the analysis. Findings The finding revealed a significant level of connectedness among global economic policy uncertainty and selected regional real estate markets. The result highlights more than 80% connectivity between the two variables, which makes the current study valuable. Furthermore, results determine Africa and North America are the shock transmitters; thus, they are considered safe-haven for investors to invest in these markets. Originality/value The main novelty is that this research highlights the time-varying connectedness between global economic policy uncertainty and five regional real estate markets (Africa, Asian Pacific, Europe, Latin America and North America) using TVP-VAR. Furthermore, the authors used the standard and poor daily real estate investment trust (REIT) indices for the selected REIT markets. Finally, this research suggests practical implications for real estate investors, property developers, stakeholders, policymakers and managers to revise their current policies to maintain the real estate market stability during economic and political uncertainty or in other uncertain situations.

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Section: Descriptive and Empirical Resultssupporting

confidence: 90%

“…Correspondingly, Youssef et al (2021) revealed that financial markets like stock markets were highly connected with the effects of EPU. Furthermore, Fasanya et al (2021) empirical findings reveal strong connectedness between Asia Pacific markets and GEPU.…”

Section: Averaged Joint Connectednessmentioning

confidence: 88%

Time-varying connectedness between global economic policy uncertainty and regional real estate markets: evidence from TVP-VAR extended joint connectedness approach

Zou

Ahmed²,

Tariq

et al. 2023

IJHMA

View full text Add to dashboard Cite

show abstract

“…Few studies have examined the link between global economic policy uncertainty and manufacturing, nor have they examined the similarities and differences of the problems in manufacturing in different economies brought on by GEPU within the same dimension. For instance, Fasanya [29] used TVP-VAR to analyze the volatility spillover effect relationship between GEPU and Asian industrial stocks, but this research still focuses on financial market stock price fluctuations and excludes the involvement of the manufacturing sector. Masona [30] used the least squares method to analyze the impact of GEPU on enterprise R&D investment and found that the negative impact of GEPU on manufacturing R&D investment is higher than that of the service sector.…”

Section: Introductionmentioning

confidence: 99%

Research on the Impact of Global Economic Policy Uncertainty on Manufacturing: Evidence from China, the United States, and the European Union

Bai

2023

Sustainability

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Events such as COVID-19 and the Russia–Ukraine conflict have significantly increased the uncertainty and volatility of global economic policies. In the context of economic globalization, the key question we investigate is whether global economic policy uncertainty will have different impacts on the manufacturing of the three major economies in China, the United States, and Europe Union. This study employs the time-varying parameter vector autoregressive (TVP-VAR) model to examine how global economic policy uncertainty (GEPU) affected manufacturing from March 2008 to March 2023. The empirical results show that the effects of GEPU are time varying; its short-term effects on Chinese manufacturing are slightly greater than its medium- and long-term effects, whereas its medium- and long-term effects on manufacturing in the United States (US) and European Union (EU) are significantly greater than its short-term effects. The impact of European debt crisis, the China–US trade war and Russia–Ukraine conflict on EU manufacturing is higher than that of China and the US, and the impact of the COVID-19 pandemic on China’s manufacturing is much smaller than that of the US and the EU; thus, Chinese manufacturing has a greater capacity for risk mitigation than US and EU manufacturing. This study not only provides a new perspective on the study of global economic policy uncertainty; it also provides new empirical evidence on how global economic policy uncertainty affects the manufacturing sector in China, the US and Europe and provides policymakers with guidance for decision making.

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Time-frequency relationship between economic policy uncertainty and financial cycle in China: Evidence from wavelet analysis

Liu

Sun

Liao

et al. 2023

Pacific-Basin Finance Journal

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How Does Economic Policy Uncertainty Connect With the Volatility Spillovers in Asia-Pacific Markets?

Cited by 7 publications

References 12 publications

Time-varying connectedness between global economic policy uncertainty and regional real estate markets: evidence from TVP-VAR extended joint connectedness approach

Time-varying connectedness between global economic policy uncertainty and regional real estate markets: evidence from TVP-VAR extended joint connectedness approach

Research on the Impact of Global Economic Policy Uncertainty on Manufacturing: Evidence from China, the United States, and the European Union

Time-frequency relationship between economic policy uncertainty and financial cycle in China: Evidence from wavelet analysis

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