Stock market volatility and economic policy uncertainty

Economic policy uncertainty and stock market volatility - ScienceDirect

PV finds that introducing new policies with an uncertain impact increases the volatility of the stochastic discount factor. The increase in the volatility of ...

Stock market volatility and economic policy uncertainty: New insight ...

Highlights. •. This study re-examines the relationship between U.S. stock market volatility and EPU using new model. •. The EPU has a threshold effect that is ...

Policy uncertainty and stock market volatility revisited: The predictive ...

While high economic policy uncertainty (EPU) predicts high volatility, particularly when the signal quality is high, the positive relationship ...

Economic Policy Uncertainty and Emerging Stock Market Volatility

The study's empirical results confirm that the upsurge in policy uncertainty leads to decreased stock returns. However, that influence is more ...

Economic Policy Uncertainty and Stock Market Volatility

This paper develops a simple check to uncover the direction of the causal link between economic policy uncertainty and stock market volatility.

US Equity Market Volatility - Economic Policy Uncertainty Index

We develop a new method to measure economic policy uncertainty and test its dynamic relationship with output, investment, and employment.

Economic policy uncertainty and the US stock market trading

The present study investigates the impact of economic policy uncertainty, and economic factors on the stock market index in the USA using Non-ARDL and Quantile ...

(PDF) Economic Policy Uncertainty and Stock Markets: Long-Run ...

We show that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility ...

Trade Policy Uncertainty and Market Volatility

We develop a new method to measure economic policy uncertainty and test its dynamic relationship with output, investment, and employment ... Trade Policy Share of ...

Economic Policy Uncertainty and Stock Market Spillovers - MDPI

To conclude, [38] found that EPU is related to stock market volatility, correlations, and jumps. Monthly data for EPU and market indices for 11 economies ( ...

Economic policy uncertainty and stock market volatility - EconPapers

By Li Liu and Tao Zhang; Abstract: This paper investigates the predictability of economic policy uncertainty (EPU) to stock market ...

Economic Policy Uncertainty and Long-Run Stock Market Volatility ...

The dependence is asymmetric, with only positive shocks - increasing uncertainty - being of importance. The US long-run stock market volatility depends ...

Full article: Global economic policy uncertainty and stock volatility

The out-of-sample forecasting results show that the GEPU-based model can improve forecasting performance of stock volatility for emerging markets, especially in ...

Economic policy uncertainty and US equity volatility - LSEG

It measures uncertainty by looking at the dispersion in predictions about key economic variables, such as the Consumer Price Index and ...

Climate Policy Uncertainty and Stock Market Volatility

We find that stock market volatility significantly responds to CPU and we further document improved forecast and economic gains of observing CPU ...

Economic policy uncertainty and stock market in G7 Countries

When policy uncertainty rises, it creates an environment of increased risk and ambiguity. Loss-averse investors, concerned about potential ...

Economic Policy Uncertainty Index

We develop a new method to measure economic policy uncertainty and test its dynamic relationship with output, investment, and employment.

Effect of Economic Policy Uncertainty on China's Stock Price Index

In response, they may adopt a cautious approach, leading to increased volatility and risk aversion in the stock market. As investors seek to ...

Economic Policy Uncertainty and Long-Run Stock Market Volatility ...

In particular, we examine the effects of economic policy uncertainty (EPU) shocks on long-run stock market volatility and correlation. The main ...

Economic Policy Uncertainty and Chinese Stock Market Volatility: A ...

We introduce the CARR-mixed-data sampling (CARR-MIDAS) model framework by considering intraday information to investigate the impact of EPU on the volatility ...