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The Economic Policy Uncertainty (EPU) index quantifies the level of uncertainty regarding economic policy, based on the frequency of news articles, tax code expiration dates, and economic forecasts. It serves as a measure of how unpredictable government actions may affect economic conditions, influencing investment and consumption decisions.

В статье рассмотрен вопрос о роли неопределенности в принятии экономических решений. Представлен обзор теоретических концепций неопределенности экономических систем, даются различные трактовки и классификации этого понятия. Основной...more

В статье рассмотрен вопрос о роли неопределенности в принятии экономических решений.
Представлен обзор теоретических концепций неопределенности экономических систем, даются различные трактовки и классификации этого понятия. Основной акцент делается на индексном подходе. Проведена актуальная оценка неопределенности согласно Мировому индексу
неопределенности (World Uncertainty Index — WUI), неопределенности экономической политики (Economic Policy Uncertainty — EPU), Всемирному индексу неопределенности пандемии
(World Pandemic Uncertainty Index — WPUI), индексу волатильности Чикагской биржи опционов (VIX — CBOE Volatility Index), европейскому индексу волатильности VSTOXX (V2TX),
российскому индексу волатильности RVI.

Using the S&P green bond index (RSPGB), this study attempts to unravel the connectedness of the green bond with energy, crypto, and carbon markets. We use MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as...more

Using the S&P green bond index (RSPGB), this study attempts to unravel the connectedness of the green bond with energy, crypto, and carbon markets. We use MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as proxies of the energy market. In addition, we consider Bitcoin and the European energy exchange carbon index (REEX) for the cryptocurrency, and carbon market, respectively. Using the daily data from October 1, 2015, to December 13, 2021, of these constituent markets, we employ Diebold Yilmaz (2012), Barunik and Krehlik (2017), and wavelet coherence. The result reveals that the energy market (RMGS) has the highest connectedness derived from other asset classes, and bitcoin (RBTC) has the least connectedness. In addition, we note that risk transmission is heterogeneous in different scales as the short period has less connectedness than the medium and long run. Hence, the overall diversi cation opportunity among green bonds, energy stock, Bitcoin, and the carbon market is more in the short-run than in the medium and long-run. Surprisingly, there is no lead-lag relationship among these markets. This study provides insights to investors, policymakers, and portfolio managers.

The article explored the effects of economic policy uncertainty (EPU) on firm stability in Nigeria. The article makes three contributions to the literature. First, the article examined the impact of global EPU on firm stability. Second,...more

The article explored the effects of economic policy uncertainty (EPU) on firm stability in Nigeria. The article makes three contributions to the literature. First, the article examined the impact of global EPU on firm stability. Second, it examined the effects of domestic EPU on firm stability, given the vulnerable nature of the Nigerian economy to both global and domestic shocks. Finally, the study examined the effects of oil prices on the EPU-firm stability nexus, given the Nigerian economy's vulnerability to oil price fluctuations. Using annual data from 2004 to 2023 and employing the Driscoll and Kraay fixed effects method, the study found that global EPU had no significant effect on firm stability. Furthermore, the findings revealed that domestic EPU hurt firm stability. Additionally, when oil prices induce domestic energy price volatility, they negatively impact firm stability. The sensitivity analysis, conducted using the quantile regression method, supported the main findings. Thus, given the importance of the results, the study recommends ways for firms to become resilient to domestic economic uncertainty by adopting robust risk management techniques and implementing policies that ensure a resilient business environment.

The purpose of this study is to investigate the responses of sector economic activity of the Japanese stock market to Economic Policy Uncertainty (EPU). To investigate this relationship, we take monthly data covering ten sectors of...more

The purpose of this study is to investigate the responses of sector economic activity of the Japanese stock market to Economic Policy Uncertainty (EPU). To investigate this relationship, we take monthly data covering ten sectors of Japan's economy and the EPU index spanning from January 2000 to January 2024. For the empirical analysis, we used a recently introduced approach, namely Cross-Quantilogram (CQ), and Quantile-on-Quantile Regression (QQR) for the robustness of the estimation output. Our findings indicate that EPU transmits negative and positive shocks to the Japanese sectors from bearish to bullish market states. Surprisingly, at the bearish state, we find that sector stocks respond negatively to the higher quantiles of EPU under short memory. Moreover, we also observed that EPU transmits a weak positive signal to sectors at medium quantiles. Similarly, we report a less pronounced effect of EPU on different sectors considering different memories (quarterly, biannual , and annual). Furthermore, our findings indicate that some sectors could serve as diversifiers in normal market conditions and are considered to be safe-haven against the EPU in bearish periods of economic activity. Our research has profound implications for portfolio managers, policy makers, and investors in terms of ensuring proactive strategies and regulatory measures.

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation...more

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation depends positively on US economic policy uncertainty shocks. The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both.

This study examines macroeconomic risk factors to investigate how they affect working capital management (WCM) and, ultimately, firm performance. Additionally, we examine the effect of credit default swaps (CDSs) as a countermeasure for...more

This study examines macroeconomic risk factors to investigate how they affect working capital management (WCM) and, ultimately, firm performance. Additionally, we examine the effect of credit default swaps (CDSs) as a countermeasure for WCM in the presence of volatile macroeconomic risk factors. In doing so, we use firm-level data from the United States, the United Kingdom, Germany, and China between 2006 and 2020. The two-step system generalized method of moments (GMM) estimation method is employed to analyze the study′s objectives. Results show that US, German, and Chinese firms are more conservative, while UK firms are more aggressive in maintaining WCM during economic policy uncertainty. Conversely, foreign exchange risks drive the USA, the UK, and Chinese firms to lengthen their cash conversion cycle level due to fear of value loss, while the opposite is true for German firms. Nevertheless, following CDS adoption, firms are more confident in working capital (WC) investment. CDSs eliminate the need for delayed receivables and payables and increased inventory as safety stock for US, UK, and Chinese firms. Finally, CDS interaction shows that USA, UK, and German firms may boost their profitability by increasing account receivable periods to create more sales, reducing account payable periods, and holding more inventories to expedite sales operations. Alternatively, CDSs suggest an optimal level of WC investment for Chinese firms. As a result, governments should consider CDS adoption in policy decisions when business performance sinks due to macroeconomic volatility.

En este artículo se pretende estimar un índice de incertidumbre de política económica —EPU— usando la metodología de Baker, Bloom & Davis (2016), donde se identifican palabras asociadas a incertidumbre. Por lo tanto, tomando información...more

En este artículo se pretende estimar un índice de incertidumbre de política económica —EPU— usando la metodología de Baker, Bloom & Davis (2016), donde se identifican palabras asociadas a incertidumbre. Por lo tanto, tomando información del diario El Tiempo se construye el índice con frecuencia mensual, encontrando que en momentos de tensiones políticas y económicas su valor se eleva. Además, es claro que tiene asociación con otros índices de expectativas, como el índice de confianza del consumidor, y con los mismos índices a nivel internacional. Finalmente, a través de un análisis VAR se encontró una respuesta negativa de la inversión y el consumo a incrementos en la incertidumbre.

This study utilizes the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) framework to investigate the interconnectedness of green bond with various financial markets, aiming to clarify their relationship with...more

This study utilizes the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) framework to investigate the interconnectedness of green bond with various financial markets, aiming to clarify their relationship with global economic uncertainty and their impact on returns. After a comprehensive search of pertinent research papers from January 2016 to September 2023, 79 relevant articles were identified. The analysis delves into the evolution of research on green bonds' interactions with economic policy uncertainty considering the financial markets, analytical methodologies, contributions to the field, and the role of green bonds under both normal and extreme market conditions. The study reveals noteworthy findings: firstly, the interplay between green bonds and financial markets is influenced by macroeconomic factors, such as the COVID-19 pandemic and the Russia-Ukraine conflict in 2022, which were significant sources of economic policy uncertainty during the study period. Secondly, during times of global economic uncertainties, green Bonds act as net transmitters of spillovers in the short term but shifts to net receivers in the long term, positioning them as strategic hedging assets rather than safe havens, particularly against spillovers from crude oil and CO2 emission in times of economic uncertainties. Additionally, the review highlights prevalent methodologies employed to assess the relationship between global economic policy uncertainty and green bonds. Some of which include quantile approaches, the Diebold & Yilmaz 2012 spillover index, as well as various models like VAR models, GARCH models, ARDL models. Notably, certain countries like China, the United Kingdom, and Vietnam emerge as key contributors to this research domain. The review not only consolidates existing knowledge but also provides valuable insights for investors and policymakers regarding green bonds in terms of risk management and asset allocation, while also pointing towards potential avenues for future research in this field.

This study investigates the impacts of pandemic‐induced economic policy uncertainties (PIEPU) on the S&P500, Nasdaq‐100, and Dow Jones indexes (stock returns). To this aim, for the first time, newly created IDEMV (the Infectious Disease...more

This study investigates the impacts of pandemic‐induced economic policy uncertainties (PIEPU) on the S&P500, Nasdaq‐100, and Dow Jones indexes (stock returns). To this aim, for the first time, newly created IDEMV (the Infectious Disease Equity Market Volatility index (henceforth, PIEPU index) is used. The Autoregressive Distributed Lag (ARDL) model and the Toda and Yamamoto (Journal of Econometrics, 1995, 66, pp. 225–250) causality test are applied for the 2009–2020 period. Empirical findings indicate that rises in the PIEPU index lead to falls of only the S&P500 and Dow Jones indexes. Corporations in the tech‐heavy Nasdaq100 index do not negatively respond to rises in the PIEPU index. Additionally, the negative impacts of the rises in the specifically COVID‐19 based‐constructed PIEPU (DCOVPIEPU) index on the S&P500 and Dow Jones indexes are higher than the negative impacts of the general PIEPU index. This can be interpreted to mean that the larger the magnitude and spread rate of a pandemic, the larger the negative impacts on stock returns. In the sample period of this study, COVID‐19 is the largest and most destructive pandemic compared to H1N1 and Ebola.

Purpose-This paper examines the effect of global economic policy uncertainty (EPU) on emerging markets (EMs) export flows. Methods-This paper uses a structural panel vector autoregression modeling approach to capture country...more

Purpose-This paper examines the effect of global economic policy uncertainty (EPU) on emerging markets (EMs) export flows. Methods-This paper uses a structural panel vector autoregression modeling approach to capture country interdependencies and the likelihood that EMs' responses are heterogeneous and dynamic. An unbalanced monthly panel data from 2003:01 to 2019:12 is used to estimate impulse responses and variance decompositions not only for the entire panel data but also for each EM. Findings-The results show that global EPU has a persistent and negative effect on exports, while foreign income and the exchange rate increase export volumes in EMs. Given the different responses of EMs to uncertainty shocks, the second-stage regression estimates suggest that greater sectoral export diversification in an EM can potentially reduce the unfavorable impact of global EPU on their export flows. Meanwhile, the higher technology content of exports leads to a multiplication of global EPU transmissions. Implication-These findings advance the literature by highlighting the importance of accounting for the transmission effect of global EPU in EMs by considering country heterogeneity. Originality-This is the sole paper examining the factors that mitigate or amplify GEPU impacts on export flows by estimating second-step ordinary least square equations.

Purpose – This paper examines the effect of global economic policy uncertainty (EPU) on emerging markets (EMs) export flows. Methods – This paper uses a structural panel vector autoregression modeling approach to capture country...more

Purpose – This paper examines the effect of global economic policy uncertainty (EPU) on emerging markets (EMs) export flows. Methods – This paper uses a structural panel vector autoregression modeling approach to capture country interdependencies and the likelihood that EMs’ responses are heterogeneous and dynamic. An unbalanced monthly panel data from 2003:01 to 2019:12 is used to estimate impulse responses and variance decompositions not only for the entire panel data but also for each EM. Findings – The results show that global EPU has a persistent and negative effect on exports, while foreign income and the exchange rate increase export volumes in EMs. Given the different responses of EMs to uncertainty shocks, the second-stage regression estimates suggest that greater sectoral export diversification in an EM can potentially reduce the unfavorable impact of global EPU on their export flows. Meanwhile, the higher technology content of exports leads to a multiplication of global E...

The increasing propagation of the coronavirus pushes to urgently rethink the possible consequences for the global markets. The coronavirus combines demand, supply and uncertainty shocks, that would be harmful to the real economy mainly...more

The increasing propagation of the coronavirus pushes to urgently rethink the possible consequences for the global markets. The coronavirus combines demand, supply and uncertainty shocks, that would be harmful to the real economy mainly owing to the shutdown of factories and offices and travel restrictions. This would generate international spillover effects. In this article, we provide a first analysis of the stock price responses to the outbreak of COVID-19. To this end, we use an improved event study methodology to test how G7 (Canada, France, Germany, Italy, Japan, the United Kingdom and the United States) stock markets react to the rapid emergence of the novel epidemic.Then, we employ the volatility spillover procedure of Diebold and Yilmaz's (2012) to discern to what extent can China be a risk exporter to the G7 countries. Our results reveal that all the G7 stock markets are suffering from uncertainty caused by the COVID-19, but the responses to this shock differ from country to country. Difficulties in trade and travel interrupted the flow of goods and services, with cascading impacts on industries where supply chains depend hugely on supplies from China. In the current uncertain times, China is likely to be the major volatility transmitter (followed by the United States), whereas Japan, Germany, France and Italy are likely to be volatility receivers. The global spread of coronavirus may be an occasion for global value chains to rethink their global strategies.

The world economy has recently navigated through the pandemic caused by the coronavirus. Almost all the affected countries have responded with stringency measures to control the pandemic. However, these restrictions appear to have...more

The world economy has recently navigated through the pandemic caused by the coronavirus. Almost all the affected countries have responded with stringency measures to control the pandemic. However, these restrictions appear to have critically impacted the global supply chain and cross-border movement of goods. In this regard, we attempt to investigate the impact of pandemic-related stringency measures on India's import demand. For this purpose, we use bilateral monthly import data of India with its major trading counterparts. Our findings suggest that stringency measures have a positive impact on imports, indicating that the economy relies more on imported items when its domestic production and supply chain are disrupted by the pandemic-related restrictions. Conversely, the import origin countries' restrictions have a negative impact on Indian imports, indicating that these restrictions have adversely affected the production and supply chain in origin countries, thereby reducing the overall flow of imports to India. We also find that economic policy uncertainty of home and product origin countries has a negative impact on Indian imports. Our results also confirm that the pandemic-related restrictions and different types of uncertainty have an asymmetric effect on imports.

This paper uses the connectedness approach to understand yield curve dynamics in Brazil. I find that the medium part of the curve is mainly a transmitter of shocks, while the short-and long-end are both net receivers of shocks....more

This paper uses the connectedness approach to understand yield curve dynamics in Brazil. I find that the medium part of the curve is mainly a transmitter of shocks, while the short-and long-end are both net receivers of shocks. Medium-term expectations about the Brazilian economy therefore play a key role in yield curve dynamics in Brazil. Resumo Este artigo utiliza a abordagem de conectividade para entender a dinâmica da curva de juros nominal no Brasil. Encontra-se que as maturidades de médio prazo são majoritariamente transmissoras de choques, enquanto os segmentos de curto e longo prazo são liquidamente recebedores de choques. As expectativas de médio prazo para a economia brasileira portanto desempenham um papel crucial na dinâmica da curva de juros no Brasil.

Purpose – This paper examines the effect of global economic policy uncertainty (EPU) on emerging markets (EMs) export flows. Methods – This paper uses a structural panel vector autoregression modeling approach to capture country...more

Purpose – This paper examines the effect of global economic policy uncertainty (EPU) on emerging markets (EMs) export flows. Methods – This paper uses a structural panel vector autoregression modeling approach to capture country interdependencies and the likelihood that EMs’ responses are heterogeneous and dynamic. An unbalanced monthly panel data from 2003:01 to 2019:12 is used to estimate impulse responses and variance decompositions not only for the entire panel data but also for each EM. Findings – The results show that global EPU has a persistent and negative effect on exports, while foreign income and the exchange rate increase export volumes in EMs. Given the different responses of EMs to uncertainty shocks, the second-stage regression estimates suggest that greater sectoral export diversification in an EM can potentially reduce the unfavorable impact of global EPU on their export flows. Meanwhile, the higher technology content of exports leads to a multiplication of global E...

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets...more

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on...more

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spi...

Orientation: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS).Research purpose: This study examined the financial connectedness...more

Orientation: This study investigated the relationship between the equity markets and foreign exchange markets in Brazil, Russia, India, China and South Africa (BRICS).Research purpose: This study examined the financial connectedness through volatility spillovers and co-movements among equity and foreign exchange markets in the BRICS countries to better understand market interdependencies.Motivation for the study: The literature mainly focused on volatility transmission from developed countries.Research approach: This research, used the Diebold and Yilmaz spillover index approach (DY index). The DY index is based on variance decompositions (VD) and impulse response functions that use a vector autoregressive (VAR) modelling framework. The study period was from 02 January 1997 to 31 December 2018.Main findings: Shocks from the equity markets dominate the foreign exchange markets, while foreign exchange markets dominate their equity markets at an individual level. There are interdepende...

This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will...more

This is a PDF file of an article that has undergone enhancements after acceptance, such as the addition of a cover page and metadata, and formatting for readability, but it is not yet the definitive version of record. This version will undergo additional copyediting, typesetting and review before it is published in its final form, but we are providing this version to give early visibility of the article. Please note that, during the production process, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

The paper aims at the investigation of two important economic indicators, the economic policy uncertainty (EPU) and composite leading indicator (CLI) of OECD for their leading potential in forecasting the stock market volatility in G7...more

The paper aims at the investigation of two important economic indicators, the economic policy uncertainty (EPU) and composite leading indicator (CLI) of OECD for their leading potential in forecasting the stock market volatility in G7 stock markets. To overcome the frequency discrepancy, the mixed sampling strategy is conducted with GARCH-MIDAS modeling. By utilizing a total of 42 estimations, the study has several contributions: i. both EPU and CLI are major leading indicators, ii. the model specification, rolling window, and fixed, matters, no a priori decision should be made by the researchers, iii. the positive (negative) influence of increases in EPU (CLI) cannot be rejected and should be kept in policy decisions. Lastly, comparative analysis revealed that CLI is a more efficient indicator however is closely followed by another efficient indicator, the EPU, for G7 stock markets' volatility.

This study investigates the effect of economic policy uncertainties on national port throughputs of selected European countries. For this purpose, we used quarterly observations of 21 European countries covering the periods between 2005...more

This study investigates the effect of economic policy uncertainties on national port throughputs of selected European countries. For this purpose, we used quarterly observations of 21 European countries covering the periods between 2005 Q1 and 2018 Q3. The Granger noncausality test was used for heterogeneous panel data models and we found that economic policy uncertainties have a considerable impact on port throughputs in the selected sample. Causality tests on individual country level have shown that uncertainties in Belgium,

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation...more

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation depends positively on US economic policy uncertainty shocks. The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both.

This study examines the impacts of trade policy uncertainties on bilateral trade balances (henceforth, BTBs) of the United States and Japan. This is achieved by using the newly created Trade Policy Uncertainty (henceforth, TPU) index and...more

This study examines the impacts of trade policy uncertainties on bilateral trade balances (henceforth, BTBs) of the United States and Japan. This is achieved by using the newly created Trade Policy Uncertainty (henceforth, TPU) index and by also applying the recently created non-linear ARDL approach. The main empirical findings, in summary, are that changes in the TPU index have significant impacts on both countries' BTBs. Furthermore, while increases in the TPU index in Japan improve US BTB, decreases worsen it. However, increases and decreases in the US TPU index have no impact on Japan's BTB with the United States. This may lead to the interpretation that Japan's exporters-importers or Japan's trade policy are/is not sensitive to changes in the US TPU index, but they/it are/is sensitive to changes in Japan's TPU index. Based on this result, we may reclassify (to some extent) Japanese exporters-importers as trade policy uncertainty avoidance people, referring to uncertainty avoidance people by Hofstede (1980), since Japanese are one of the highest uncertainty avoidance people in their socio-cultural-economic structure.

This study investigates the impacts of pandemic-induced economic policy uncertainties (PIEPU) on the S&P500, Nasdaq-100, and Dow Jones indexes (stock returns). To this aim, for the first time, newly created IDEMV (the Infectious Disease...more

This study investigates the impacts of pandemic-induced economic policy uncertainties (PIEPU) on the S&P500, Nasdaq-100, and Dow Jones indexes (stock returns). To this aim, for the first time, newly created IDEMV (the Infectious Disease Equity Market Volatility index (henceforth, PIEPU index) is used. The Autoregressive Distributed Lag (ARDL)

Over the last decade or so, private sector’s financing through public-private partnerships (PPPs) has become increasingly popular as a way of procuring and maintaining public-sector infrastructure. Albania in the last few years had...more

Over the last decade or so, private sector’s financing through public-private partnerships (PPPs) has become increasingly popular as a way of procuring and maintaining public-sector infrastructure. Albania in the last few years had improved the legal frame so as to give the local authorities the right to initiate PPP projects. The local authorities have not built the expertise for such projects yet. The aim of this paper is to help the local authorities in Albania to support the building of the expertise for such projects. A financial model is used to make the required calculations for the bid at various phases of the project, although this paper is not intended to cover financial modeling in depth, the key inputs and outputs for the financial model are reviewed, including the financing costs. The model has to work within the constraints of: (1) the public authority’s requirements for the PPP contract term and service fee profile; and (2) lenders’ requirements for the term and payme...

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on...more

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spi...

This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are...more

This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are included in this study. We also examine the investment nature of gold futures contract among other assets. The results provide insights on the influence of these interrelated macro economic variables on a financial derivative contract in an emerging economy and its unique position in portfolio allocation and are aimed to help practitioners and policy makers.

This study investigates the effects of economic policy and financial market uncertainties on Indian imports. For this purpose, we consider a panel of 97 commodities imported to India during the period: September 2011 to January 2019. We...more

This study investigates the effects of economic policy and financial market uncertainties on Indian imports. For this purpose, we consider a panel of 97 commodities imported to India during the period: September 2011 to January 2019. We utilize two panel estimation techniques, the Pooled Mean Group (PMG) and Cross-sectionally Augmented Distributed Lag (CS-DL), for the analyses. In the short-run, we find that economic uncertainty leads to more imports to India. Conversely, in the long-run, it has a dampening effect. Our estimates also reveal that both domestic and global economic uncertainties have a considerable impact on Indian imports. However, we do not find any noticeable impact of financial market uncertainty on the imports. For robustness purposes, we also make use of aggregated import data for a longer time-horizon. These results fairly validate the findings of the commodity-level analysis. Finally, our sectoralanalysis suggests that the imports of primary products are more sensitive to the policy uncertainty than those of the manufacturing products. Given that, our study offers detailed policy suggestions in the context of an emerging economy.

This study attempts to empirically establish a comparative agreement of crosscountry spillover of real overnight, short and long-term interest rates of US, Japan, Germany, China, India, and Russia. It examines whether the magnitude of...more

This study attempts to empirically establish a comparative agreement of crosscountry spillover of real overnight, short and long-term interest rates of US, Japan, Germany, China, India, and Russia. It examines whether the magnitude of international spillovers of real interest rate shocks do vary based on their maturity pattern? Employing Diebold and Yilmaz (DY) spillover methods, this study discovered that interest rate shock spillovers vary over their different maturities. Specifically, it finds that the total spillover through longterm interest rate is 44.8%, spillover through overnight interest rate is 41.10% and spillover through short-term interest rate is 37.50%. It indicates that spillover is marginally higher via long-term interest rate compared to overnight and short-term interest rates. This is because long-term interest rate takes a secular trend path based on the preferences of international investors and conditions of the global financial market. This has a significant policy bearing for monetary and fiscal authorities, portfolio managers (including traders in stock markets), foreign and domestic investors, etc. Contribution/Originality: This study is one of the very few studies which has investigated the international spillovers of interest rates shocks over various maturities across developed and emerging market economies.

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on...more

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spi...

The study investigates volatility spillovers among three types of uncertainty - financial, consumer, and industrial - in EU member states in the period between January 2005 and December 2017. The results suggest that most volatility is...more

The study investigates volatility spillovers among three types of uncertainty - financial, consumer, and industrial - in EU member states in the period between January 2005 and December 2017. The results suggest that most volatility is transmitted between countries within a given type of uncertainty. What is important, the pairs of countries that transmit uncertainty to one another are geographically related (i.e. they are neighbouring countries). Financial uncertainty can be seen as net volatility transmitter to both industrial and consumer uncertainties. The study proposes decomposition of the connectedness table into symmetric and skew-symmetric parts, which offers an attractive and comprehensive interpretation.

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a...more

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a sample of 13 developed countries and 6 emerging Latin American countries. Additionally, using daily data from 2003 to 2015, the dynamics of returns are analyzed to test whether the US market influenced these markets or vice versa; univariate (MS-AR) and multivariate (MS-VAR) regime-switching models are used. The evidence confirms the presence of two different regimes, low volatility and a high volatility for all markets. Findings suggest strengthening local productive and financial institutions in order to anchor FPI. The MS-(V)AR study is limited to stock markets from the Americas and Europe. Previous literature has not applied the innovative and complementary methodologies employed here to analyze financial crisis impacts on FPI flows. We conclud...

This paper investigates the pass-through of exchange rate and oil price to inflation for BRICS countries through the analysis of Diebold and Yilmaz (2012) spillover index and rolling-window. Using the monthly frequency data, our results...more

This paper investigates the pass-through of exchange rate and oil price to inflation for BRICS countries through the analysis of Diebold and Yilmaz (2012) spillover index and rolling-window. Using the monthly frequency data, our results provide the following novelties: (i) There is strong evidence of directional spillover in all the countries; (ii) the total spillover is low, with Brazil (India) having the highest (lowest). This suggests that a greater percent of shocks is explained by idiosyncratic shocks; (iii) the net spillover of oil price (output growth) is positive (negative) for all the countries, indicating that oil price (output growth) contributes to the forecast error variance decomposition of other variables more (less) than it receives from other variables. In addition, the net spillover of exchange rate is positive only for Russia and China while consumer price index is positive only for Brazil and China; (iv) the historical events and crises interrupt the extent of sp...

This article contributes to the existing empirical literature by examining the spillovers across price inflation and agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J...more

This article contributes to the existing empirical literature by examining the spillovers across price inflation and agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) spillover index. Subsequently, we examine the directional spillover, total spillover, and net spillover indexes. Further analysis to capture cyclical and secular movements was addressed with 40 months of subsamples via the rolling window analysis. Our empirical results, based on the monthly frequency data from January 2006 to July 2016 show that the total spillover effect was about 75%. This suggests a high interconnectedness of the selected agricultural commodity prices and inflation. Further empirical findings shows that inflation, sorghum, soybeans, and wheat were net receivers while cocoa, barley, groundnut, maize, rice were net givers. We find a negative net spillover for price inflation, implying a net positive spi...

Many global shocks, including the renegotiation of NAFTA, the United States–China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks...more

Many global shocks, including the renegotiation of NAFTA, the United States–China trade war, the Brexit, and the COVID-19 pandemic, may have recently influenced the inflation spillover in the G7 countries. The current literature overlooks the influence of these important events on the inflation spillover of the G7 countries. This study fulfills this gap and investigates the nature of inflation spillover in the short, medium, and long term. Using the monthly data from 1956:6 to 2020:12, the study finds that Japan and the United States are the main transmitters of inflation. International trade, purchasing power parity, low-cost technology, and the Abenomics policy were found to be responsible for the inflation spillover. We suggest that the central banks of these countries collaborate to achieve the targeted inflation rate.

In this study, we investigate the dynamic connectedness between the volatility of Northeast Asia, namely South Korea, Japan, China, and the United States (US). Specifically, we employ Diebold and Yilmaz's (2012) spillover index to measure...more

In this study, we investigate the dynamic connectedness between the volatility of Northeast Asia, namely South Korea, Japan, China, and the United States (US). Specifically, we employ Diebold and Yilmaz's (2012) spillover index to measure connectedness in stock market volatility. Furthermore, we analyze the dynamic connectedness during the global financial crisis (GFC) and COVID-19 pandemic periods to identify the changes in their relationship following the two crises. Our findings can be summarized as follows. First, the connectedness between the volatility of the four stock markets varies over time. However, the US has played a role as a net transmitter of volatility shocks during the entire period. Second, interdependence increased during the two crisis periods. Based on the total volatility spillover index, interdependence is stronger during the GFC than during the COVID-19 pandemic period. Third, the magnitude of volatility shock transmission to other countries is time-varying. In particular, for the South Korean stock market, the volatility shock transmitted from the Chinese stock market has been larger than that of the US market since 2015. These empirical findings have several important implications for portfolio managers, policymakers, and investors.

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets...more

This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness....more

We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from network analysis. The results reveal clear clustering of commodities into groups that match traditional industry groupings, but with some notable differences. The energy sector is most important in terms of sending shocks to others, and energy, industrial metals, and precious metals are themselves tightly connected.

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on...more

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.

Container ports are one of the most important parts of the supply chain. Due to high investment and operating costs, the structure and predictability of current and future demands are very important. To investigate this structure, this...more

Container ports are one of the most important parts of the supply chain. Due to high investment and operating costs, the structure and predictability of current and future demands are very important. To investigate this structure, this study aims to determine whether the shocks to the export and import container quantities handled in Turkish ports are temporary or permanent. Both standard unit root tests and unit root tests with structural breaks were applied to export and import container amounts. According to the results, when the structural breaks are considered, it has been determined that both export and import container quantities are stationary. This situation shows that the effects of the shocks to the container traffic are temporary, the applied policies lose their effect in a short time and the future container traffic can be predicted using historical data.

Baltic Dry Index (BDI) is a composite index showing the freight levels of ship types used in the transportation of raw materials that form the basis of the world economy. Since the maritime market has a derived demand structure, the...more

Baltic Dry Index (BDI) is a composite index showing the freight levels of ship types used in the transportation of raw materials that form the basis of the world economy. Since the maritime market has a derived demand structure, the demand for maritime market is mainly affected by the demand for these raw materials. In this respect, the upward trend in freight rates may also reflect the upward trend in demand for commodities, which are the raw materials for the global industry. With this structure, the BDI variable is an important indicator followed by most economists and investors. The aim of this study is to determine the econometric relationship between the BDI value, which is accepted by many researchers as one of the leading indicators of the global economy, and the search rate of it on Google, one of the most popular search engines in the world. In this respect, asymmetric causality test is used to determine the causality relationship between the variables by separating the shocks they contain as positive and negative. The data set used in the study covers the period between January 2004 and February 2019 and consists of 182 monthly observations. According to the results obtained, only one significant causal relationship from the negative shocks in the BDI variable to the positive shocks in the rate of search is determined. These results indicate that BDI is searched more when the trend is declining.

Since container trade is mostly used for the transportation of finished products, it can be used as a measurement tool in tracking the trade of high value-added products in the international arena. This study aims to examine the effect of...more

Since container trade is mostly used for the transportation of finished products, it can be used as a measurement tool in tracking the trade of high value-added products in the international arena. This study aims to examine the effect of uncertainties on international trade through the amount of exported and imported containers handled in Turkish ports. The dataset consists of 64 quarterly observations and covers the periods between the first quarter of 2004 and the last quarter of 2019. The results of the asymmetric causality test applied reveal that negative shocks in the uncertainty index are the cause of positive shocks in both exported and imported container quantities. This shows that the decrease in uncertainties within the country has a positive effect on container traffic in ports and thus on international trade. However, a reducing effect of the increase in uncertainty cannot be determined.

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a...more

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a sample of 13 developed countries and 6 emerging Latin American countries. Additionally, using daily data from 2003 to 2015, the dynamics of returns are analyzed to test whether the US market influenced these markets or vice versa; univariate (MS-AR) and multivariate (MS-VAR) regime-switching models are used. The evidence confirms the presence of two different regimes, low volatility and a high volatility for all markets. Findings suggest strengthening local productive and financial institutions in order to anchor FPI. The MS-(V)AR study is limited to stock markets from the Americas and Europe. Previous literature has not applied the innovative and complementary methodologies employed here to analyze financial crisis impacts on FPI flows. We conclude that US financial markets keep a close financial relationship with the most important European and American countries' stock markets, both by receiving and delivering FPI, and in addition influencing the behavior of stock indexes. JEL Classification: C58, F65, G01, G15, N20

Resumen. En este artículo se pretende estimar un índice de incertidumbre de política económica —EPU— usando la metodología de Baker, Bloom & Davis (2016), donde se identifican palabras asociadas a incertidumbre. Por lo tanto, tomando...more

Resumen. En este artículo se pretende estimar un índice de incertidumbre de política económica —EPU— usando la metodología de Baker, Bloom & Davis (2016), donde se identifican palabras asociadas a incertidumbre. Por lo tanto, tomando información del diario El Tiempo se construye el índice con frecuencia mensual, encontrando que en momentos de tensiones políticas y económicas su valor se eleva. Además, es claro que tiene asociación con otros índices de expectativas, como el índice de confianza del consumidor, y con los mismos índices a nivel internacional. Finalmente, a través de un análisis VAR se encontró una respuesta negativa de la inversión y el consumo a incrementos en la incertidumbre. Abstract. n this paper, we intend to estimate an Economic Policy Uncertainty index —EPU— using the Baker, Bloom and Davis (2016) methodology, where words associated with uncertainty are identified. Therefore, taking information from the newspaper El Tiempo, the index is built on a monthly basis, finding that in moments of political and economic tension its value rises. In addition, it is clear that it is associated with other expectations indexes, such as consumer confidence, and with the same indices at an international level. Finally, through a VAR analysis, there was a negative response from investors and consumers to increases in uncertainty.

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that,...more

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably, reaching unprecedented heights. Moreover, in net terms, economic policy uncertainty becomes the dominant transmitter of shocks between 1997 and 2009, while in the post-2009 period there is a significant role for supply-side and oil specific demand shocks, as net transmitters of spillover effects. These results are important for policy makers, as well as, investors interested in the oil market.