US economic policy uncertainty spillover on the stock markets of the GCC countries

Istiak, Khandokar; Alam, Rafayet

doi:10.1108/jes-11-2018-0388

Cited by 34 publications

(15 citation statements)

References 33 publications

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“…Accordingly, the risk and uncertainty variables were positioned in first place in the ordering of the SVAR model. This ordering is consistent with those by Baker et al (2016), Caggiano et al (2017), Colombo (2013), Istiak (2021), and Istiak and Alam (2020), who placed the risk and uncertainty variables in first place in the ordering of the SVAR. Table 3 indicates that all the Granger variables cause tourism's contribution to GDP.…”

Section: Methodology and Datasupporting

confidence: 90%

Risk, uncertainty and the tourism sector of North Africa

Istiak

2021

African Development Review

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This paper investigates, for the first time, the uncertainty on the tourism of North Africa and uncertainty on the second‐degree effects of the North African tourism sector. The study uses data from 1995 to 2019 and a structural vector autoregression to perform the investigation. The research finds that uncertainties, measured by the uncertainty of Europe, the uncertainty of the Middle East and Central Asia, and the volatility of GDP growth of the Euro area, have significant negative effects on investment and job creation in, as well as the contribution to the GDP of, the North African tourism sector. The paper invents a new proxy of risk, measured by the volatility of crude oil production in North Africa, and finds that this new risk measure has a significant negative impact on the North African tourism sector. The results show that geopolitical risk and the uncertainty of Africa do not significantly affect the North African tourism sector. The paper suggests that policymakers in North Africa subsidize tourism‐related activities and explore new markets to attract tourists during periods of high risk and uncertainty.

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Section: Methodology and Datasupporting

confidence: 90%

Risk, uncertainty and the tourism sector of North Africa

Istiak

2021

African Development Review

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“…The study further suggests that policy uncertainty leads to delayed economic recovery, particularly after the recession, as households defer their consumption decisions. Istiak and Alam (2020) examined the impact of US economic policy uncertainty on the stock market fluctuations for Gulf Cooperation Council (GCC) countries. Based on monthly observations from 1992 to 2018 using the linear and nonlinear structural vector autoregression models, the study found that an increase in US economic policy uncertainty leads to a significant decline in the stock market index of GCC countries.…”

Section: Policy Uncertainty Impact On Consumer Confidence and Busines...mentioning

confidence: 99%

The impact of economic uncertainty and financial stress on consumer confidence: the case of Japan

Ghosh¹

2021

JABES

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PurposeThis study explores the response of consumer confidence in policy uncertainty in the Japanese context. The study also considers the dynamism of stock market behavior and financial stress and its impact on consumer confidence, which has remained unaddressed in the literature. The role of these control variables has important implications for policy discussions, particularly when other countries can learn from Japanese experiences.Design/methodology/approachThe nonlinear autoregressive distributed lag model postulated by Shin et al. (2014) was used for studying the asymmetric response of consumer confidence to policy uncertainty. This method has improved estimates compared to traditional linear cointegration methods.FindingsThe findings confirm the asymmetric impact of policy uncertainty on the consumer confidence index in Japan. The impact of the rise in policy uncertainty is greater than that of a fall in asymmetry on consumer confidence in Japan. Furthermore, the Wald test confirmed asymmetric behavior.Originality/valueThe contribution of this study is threefold. First, this study contributes to the extant literature by analyzing the asymmetric response of consumer confidence to policy uncertainty, controlling for both the financial stress and stock price indices. Second, to test the robustness of the exercise, the study utilized different frequencies of observations. Third, this study is the first to utilize the concept of Arbatli et al. (2017) to formulate a combined index of uncertainty based on economic policy uncertainty index, along with uncertainty indices such as fiscal, monetary, trade and exchange rate policies to study the overall impact of policy uncertainty.

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“…The literature exploring the connection of return and/or volatility of the stock market with EPU has flourished across the globe, including both developed and emerging economies. Extensive research has mainly concentrated on exploring the relationship of own country EPU with the returns/volatility of local stock markets (Bekiros et al, 2016;Rahman et al, 2019) among others, while various studies explored the transnational influences of EPU on the stock markets of other emerging economies such as Brazil, Australia, Canada, Japan, China, South Africa, and on the financial markets of some trade group countries such as ASEAN, BRIC, EU and GCC (Balcilar et al, 2019;Carri ere-Swallow & C espedes, 2013;Istiak & Alam, 2019;Kang & Ratti, 2015) among others.…”

Section: Relevant Researchmentioning

confidence: 99%

Forecasting Chinese EPU based on financial uncertainty in emerging market economies (EMEs): evidence from six selected East Asian economies

Rahman

2020

Economic Research-Ekonomska Istraživanja

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While the influential role of Economic Policy Uncertainty (EPU) on economic activity and financial markets is well-documented, little is known about how to forecast EPU, especially in the framework of an emerging market economy (EME). We forecast the newly developed EPU index of China based on financial uncertainty (measured by a realised volatility) of the selected East Asian Economies (EAEs) including ASEAN5 and Hong Kong, having close trade linkages with China, by using LR and DT methods. After controlling for macroeconomic variables, it is evident that the realised volatility of regional EAEs significantly forecasts the EPU of China, except for Thailand. Moreover, comparing the performance of both models based on the accuracy classification score test, LR performs better than DT. Policymakers, who aim to keep and maintain a low level of EPU to achieve effective investment policies and avoid reduced consumer spending, should take into account the findings of this study.

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US economic policy uncertainty spillover on the stock markets of the GCC countries

Cited by 34 publications

References 33 publications

Risk, uncertainty and the tourism sector of North Africa

Risk, uncertainty and the tourism sector of North Africa

The impact of economic uncertainty and financial stress on consumer confidence: the case of Japan

Forecasting Chinese EPU based on financial uncertainty in emerging market economies (EMEs): evidence from six selected East Asian economies

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