The Economic Policy Uncertainty and Its Effect on Sustainable Investment: A Panel ARDL Approach

Darsono, Susilo Nur Aji Cokro; Wong, Wing‐Keung; Nguyen, Tran Thai Ha; Wardani, Dyah Titis Kusuma

doi:10.3390/jrfm15060254

Cited by 19 publications

(17 citation statements)

References 63 publications

(86 reference statements)

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“…Fourth, EPU reduces investment and technology use related to environmental sustainability. Darsono et al (2022) find that EPU reduces sustainable stock market returns in the long run and discourages investment activity. Further, EPU reduces investment in environmental technologies in industrial production, increasing the ecological footprint in the long run (Hussain et al 2022).…”

Section: Environmental Impact Of Epumentioning

confidence: 84%

Prediction of Post-COVID-19 economic and environmental policy and recovery based on recurrent neural network and long short-term memory network

Xiong²,

Chen³

et al. 2022

Environ. Res. Commun.

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COVID-19 has brought significant impacts on the global economy and environment. The Global Economic-and-environmental Policy Uncertainty (GEPU) index is a critical indicator to measure the uncertainty of global economic policies. Its prediction provides evidence for the good prospect of global economic and environmental policy and recovery. This is the first study using the monthly data of GEPU from January 1997 to January 2022 to predict the GEPU index after the COVID-19 pandemic. Both Recurrent Neural Network (RNN) and Long Short-Term Memory (LSTM) models have been adopted to predict the GEPU. In general, the RNN outperforms the LSTM networks, and most results suggest that the GEPU index will remain stable or decline in the coming year. A few results point to the possibility of a short-term increase in GEPU, but still far from its two peaks during the first year of the COVID-19 pandemic. This forecast confirms that the impact of the epidemic on global economic and environmental policy will continue to wane. Lower economic and environmental policy uncertainty facilitates global economic and environmental recovery. Economic recovery brings more opportunities and a stable macroeconomic environment, which is a positive sign for both investors and businesses. Meanwhile, for the ecological environment, the declining GEPU index marks a gradual reduction in the direct impact of policy uncertainty on sustainable development, but the indirect environmental impact of uncertainty may remain in the long run. Our prediction also provides a reference for subsequent policy formulation and related research.

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Section: Environmental Impact Of Epumentioning

confidence: 84%

Prediction of Post-COVID-19 economic and environmental policy and recovery based on recurrent neural network and long short-term memory network

Xiong²,

Chen³

et al. 2022

Environ. Res. Commun.

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“…The PMG estimation method can be applied to estimate the variables with cointegration relationship under the premise of satisfying the existence of cointegration relationship (Pesaran et al, 1999). The PMG method can estimate the relationship between the cointegration variables and gives an error correction coefficient, which confirms the existence of a long-term relationship (Darsono et al, 2022). Moreover, we can consider the relationship is significant and efficient only when the error correction coefficient is significantly negative Hausman test is the judgment standard for selecting MG estimator and PMG estimator for panel ARDL analysis.…”

Section: Panel Ardl: Mg and Pmgmentioning

confidence: 99%

The Determinants of International Tourism: Evidence from European Countries and China’s Provinces

Zhang¹,

Nahar

2023

JESP

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Tourism has been reported as one of the largest economic sectors in the world. It is shown by more than hundreds of jobs involved in this sector which directly escalate the welfare and economic growth of a country. Thus, government will support any actions that could improve competitiveness and profitability of tourism industry. The main objective of this paper is to determine the significant factors of international tourism receipts by 18 European countries and 12 provinces of Western China between 1995 and 2019. Based on data, Europe known as the world’s largest international tourist receipt in 2019 followed by Asia and the Pacific including China. It is interesting to note that China, particularly in western part, has contributed more on achieving tourism receipt. China has potential to grow its tourism sector in significant trend due to its large land size and massive human resources that might further defeat Europe’s total tourist receipt. By using panel Autoregressive Distributed lag (ARDL) model, there would be different responses related to determinant factors of tourism over long run and short run. The result revealed that population, carbon dioxide emission and trade openness have positive effect to the international tourism receipt in Europe in the long run while the rest explanatory variables such as transportation infrastructure and energy consumption have negative effect to the international tourism receipt in Europe. While in case of China, population and energy consumption are statistically significant and positive to international tourism receipt in the long-run correlation, but the rest variables are having negative effect. Unfortunately, in the short-run effect, it was found that all variables are not statistically significant at least at the ten percent significance level in both Europe and China. From the result, the Europe and Chinese policy makers can evaluate the policy based on each result. For instance, the fact that the high level of population density could reach larger tourism receipt is not always true, government need to provide some training for the party who will be involved in tourism industry to gain knowledge and encourage them to be more creative and innovative. Hence the good quality of listed tourism destination would attract more tourist to the destination country

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“…GPR, VIX, EPU, and commodity price changes in recent years have anticipated consequences with a negative effect on the stock market because they are risky assets that are sensitive to uncertainty and dependent on commodity prices (Kamal et al 2022;Atri et al 2023). Sustainable stocks are negatively affected by EPU and VIX (Shaikh 2022;Naeem et al 2023), while they are positively affected by gold and crude oil prices (Darsono et al 2022). Besides the limited studies on the effect of GPR on sustainable stocks, Taera et al (2023) indicate that sustainable stock bears a lower risk during high GPR and acted as a safe haven during COVID-19 (Rubbaniy et al 2022), while Piserà and Chiappini (2024) explained that sustainable stocks are not safe havens, as they have a positive relationship with the stock market.…”

Section: Introductionmentioning

confidence: 99%

“…Naeem et al (2023) pointed out that changes in the VIX are bad news for sustainable stocks in emerging Asian markets. Darsono et al (2022) explained that investing in Chinese and Brazilian sustainable stocks could only diversify gold and crude oil. In contrast, Cagli et al (2023) emphasized that investing in sustainable stock in emerging markets could effectively hedge against crude oil.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

Nittayakamolphun,

Bejrananda,

Pholkerd

2024

JRFM

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The increase in global economic policy uncertainty (EPU), volatility or stock market uncertainty (VIX), and geopolitical risk (GPR) has affected gold prices (GD), crude oil prices (WTI), and stock markets, which present challenges for investors. Sustainable stock investments in emerging markets may minimize and diversify investor risk. We applied the non-linear autoregressive distributed lag (NARDL) model to examine the effects of EPU, VIX, GPR, GD, and WTI on sustainable stocks in seven emerging markets (Thailand, Malaysia, Indonesia, Brazil, South Africa, Taiwan, and South Korea) from January 2012 to June 2023. EPU, VIX, GPR, GD, and WTI showed non-linear cointegration with sustainable stocks in seven emerging markets and possessed different asymmetric effects in the short and long run. Change in EPU increases the return of Thailand’s sustainable stock in the long run. The long-run GPR only affects the return of Indonesian sustainable stock. All sustainable stocks are negatively affected by the VIX and positively affected by GD in the short and long run. Additionally, long-run WTI negatively affects the return of Indonesia’s sustainable stocks. Our findings contribute to rational investment decisions on sustainable stocks, including gold and crude oil prices, to hedge the asymmetric effect of uncertainty.

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The Economic Policy Uncertainty and Its Effect on Sustainable Investment: A Panel ARDL Approach

Cited by 19 publications

References 63 publications

Prediction of Post-COVID-19 economic and environmental policy and recovery based on recurrent neural network and long short-term memory network

Prediction of Post-COVID-19 economic and environmental policy and recovery based on recurrent neural network and long short-term memory network

The Determinants of International Tourism: Evidence from European Countries and China’s Provinces

Asymmetric Effects of Uncertainty and Commodity Markets on Sustainable Stock in Seven Emerging Markets

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