International spillovers of policy uncertainty

Klößner, Stefan; Sekkel, Rodrigo

doi:10.1016/j.econlet.2014.07.015

Cited by 214 publications

(102 citation statements)

References 13 publications

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“…When we include a Global EPU measure, both Japan EPU and Global EPU shocks yield material, statistically significant output and investment responses. This result suggests the effects of policy uncertainty shocks spill across national borders, in line with other evidence in Colombo (2013), International Monetary Fund (2013), Klössner and Sekkel (2014), Julio and Yook (2016), and Costantinescu (2017).…”

Section: Discussionsupporting

confidence: 86%

Policy Uncertainty in Japan

Arbatli

Davis²,

Ito³

et al. 2017

IMF Working Papers

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We develop new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards building on the approach of Baker, Bloom and Davis (2016). Each index reflects the frequency of newspaper articles that contain certain terms pertaining to the economy, policy matters and uncertainty. Our overall EPU index co-varies positively with implied volatilities for Japanese equities, exchange rates and interest rates and with a survey-based measure of political uncertainty. The EPU index rises around contested national elections and major leadership transitions in Japan, during the Asian Financial Crisis and in reaction to the Lehman Brothers failure, U.S. debt downgrade in 2011, Brexit referendum, and Japan's recent decision to defer a consumption tax hike. Our uncertainty indices for fiscal, monetary, trade and exchange rate policy co-vary positively but also display distinct dynamics. VAR models imply that upward EPU innovations foreshadow deteriorations in Japan's macroeconomic performance, as reflected by impulse response functions for investment, employment and output. Our study adds to evidence that credible policy plans and strong policy frameworks can favorably influence macroeconomic performance by, in part, reducing policy uncertainty. JEL Classification Numbers: D80, E20, E52, E62, F13

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Section: Discussionsupporting

confidence: 86%

Policy Uncertainty in Japan

Arbatli

Davis²,

Ito³

et al. 2017

IMF Working Papers

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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: 85%

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

Thiem

2019

Open Econ Rev

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“…1 Klobner and Sekkel (2014) and Colombo (2013) have already investigated the spillovers of EPU between the US and the euro zone. However, these papers focus only on the US and some euro member countries and do not examine the timevarying role of EPU on SPs.…”

Section: Estimation Methodologymentioning

confidence: 99%