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Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times
Balcilar, Mehmet - 2020
This study empirically examines the fragility of five major Asian economies (China, Hong Kong, India, Japan, and South Korea) to economic policy uncertainty (EPU) of US and EU, and oil prices in different state of the economies. To investigate these dynamics, we use the relative tail dependence...
Persistent link: https://www.econbiz.de/10012833241
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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013110862
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State-Level Economic Policy Uncertainty
Baker, Scott R.; Davis, Steven J.; Levy, Jeffrey A. - 2022
We quantify and study state-level economic policy uncertainty. Tapping digital archives for nearly 3,500 local newspapers, we construct three monthly indexes for each state: one that captures state and local sources of policy uncertainty (ΕPU-S), one that captures national and international...
Persistent link: https://www.econbiz.de/10014083791
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10013316934
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Who Cares About Stock Market Booms and Busts? Evidence from Data on Mental Health
Ratcliffe, Anita - 2012
associated with better mental health while greater uncertainty, as measured by index volatility, is associated with poorer mental …
Persistent link: https://www.econbiz.de/10013098468
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Do Board Gender Quotas Matter? Selection, Performance and Stock Market Effects
Ferrari, Giulia - 2018
From business to politics and academia, the economic effects of the introduction of gender quotas are under scrutiny. We provide new evidence based on the introduction of mandatory gender quotas for boards of directors of Italian companies listed on the stock market. Comparing before and after...
Persistent link: https://www.econbiz.de/10012920456
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When the Market Drives You Crazy : Stock Market Returns and Fatal Car Accidents
Giulietti, Corrado - 2018
The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This paper provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...
Persistent link: https://www.econbiz.de/10012912252
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The Economic Security Index : A New Measure for Research and Policy Analysis
Hacker, Jacob S. - 2012
combining data from multiple surveys, we create an integrated measure of volatility in available household resources, accounting … different groups are exposed to economic risk. As the ESI derives from a data-independent conceptual foundation, it can be …
Persistent link: https://www.econbiz.de/10013098821
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Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market
Dickinson, David L. - 2017
Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...
Persistent link: https://www.econbiz.de/10012947730
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Macroeconomic Volatilities and the Labor Market : First Results from the Euro Experiment
Merkl, Christian - 2010
This paper analyzes the effects of different labor market institutions on inflation and output volatility. The eurozone … could account for volatility differences across member states, but labor market characteristics have remained very diverse … significant negative effect on output volatility, while replacement rates have a positive effect, both of which are in line with …
Persistent link: https://www.econbiz.de/10013143682