We consider several economic uncertainty indicators for the United States and the UK before and during the COVID-19 pandemic: implied stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic uncertainty, subjective uncertainty about future business...

Multipliers estimated for sixteen major economies predict that 1% more economic policy uncertainty (EPU) produces about 0.3% - 0.8% more sovereign CDS volatility. The impact of EPU is strong but short-lived. US EPU is an important additional source of CDS volatility for European countries,...

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period...

he COVID-19 pandemic calls for a collective response at the global and regional level. Otherwise, some nations may be left behind and the potential for the contagion to return remains high. As advanced regional blocs, the EU and ASEAN have a major responsibility to their members for coordinating...

This paper examines how news coverage of the European Central Bank (ECB) affects consumer inflation expectations in the four largest euro area countries. Utilizing a unique dataset of multilingual European news articles, we measure the impact of ECB-related inflation news on inflation...

Using causal graphs, this paper develops a simple check to uncover the direction of the causal link between economic policy uncertainty and stock market volatility. The check is applied to monthly data for 22 countries. The results imply that uncertainty is an instantaneous cause of stock market...

Uncertainty is acknowledged to be a source of economic fluctuations. But, does the type of uncertainty matter for the economy's response to an uncertainty shock? This paper offers a novel identification strategy to disentangle different types of uncertainty. It uses machine learning techniques...

This paper provides empirical evidence on the dynamic effects of uncertainty on firm-level capital accumulation. A novelty in this paper is that the firm-level uncertainty indicator is motivated and derived from a theoretical model, the neoclassical investment model with time to build. This...

Substantial attention has been paid in recent years to the risk of maturity mismatch in emerging markets. Although this risk is microeconomic in nature, the evidence advanced thus far has taken the form of macro correlations. This paper empirically evaluates this mechanism at the micro level by...