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Baker, Scott R. - 2014

Many commentators argue that uncertainty about tax, spending, monetary and regulatory policy slowed the recovery from the 2007-2009 recession. To investigate this we develop a new index of economic policy uncertainty (EPU), built on three components: the frequency of newspaper references to...

Persistent link: https://www.econbiz.de/10013064762

Short Selling and Economic Policy Uncertainty

Cao, Xiaping - 2017

We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short selling activity at either the aggregate level or the individual stock level is increasing in the EPU index (Baker, Bloom and Davis, 2016). EPU has great explanatory power for short...

Persistent link: https://www.econbiz.de/10012959158

Asset Pricing Under Prior-Induced Beta Uncertainty

Hu, Shuting (Sophia) - 2018

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

Persistent link: https://www.econbiz.de/10012935196

News Entropy

Kuhlen, Nikolas; Preston, Andrew - 2021

We introduce the concept of 'news entropy' to characterise the relationship between news coverage and the economy. Intuitively, news entropy decreases as the news focus on a smaller set of pressing topics. We observe that news entropy exhibits clear negative spikes close to important economic,...

Persistent link: https://www.econbiz.de/10013234550

Economic Uncertainty Before and During the Covid-19 Pandemic

Altig, David - 2020

We consider several economic uncertainty indicators for the US and 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 growth, and...

Persistent link: https://www.econbiz.de/10012829721

The Volatility of Economic Policy Uncertainty

Hong, Tacye; Kattuman, Paul - 2021

Theory as well as empirics suggest that both the level and the volatility of uncertainty impact important economic variables. There is a need to extend models of uncertainty to the volatility of uncertainty. We analyse the dynamics of the Economic Policy Uncertainty index developed by (Baker et...

Persistent link: https://www.econbiz.de/10013323381

Overpricing persistence in experimental asset markets with intrinsic uncertainty

Sornette, Didier; Andraszewicz, Sandra; Wu, Ke; Murphy, … - 2020

To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set-up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...

Persistent link: https://www.econbiz.de/10012231540

Economic uncertainty before and during the COVID-19 pandemic

Altig, Dave; Baker, Scott Brent; Barrero, Jose Maria; … - 2020

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...

Persistent link: https://www.econbiz.de/10012251406

Overpricing persistence in experimental asset markets with intrinsic uncertainty

Sornette, Didier; Andraszewicz, Sandra; Wu, Ke; Murphy, … - 2019

To study coordination in complex social systems such as financial markets, the authors introduce a new prediction market set -up that accounts for fundamental uncertainty. Nonetheless, the market is designed so that its total value is known, and thus its rationality can be evaluated. In two...

Persistent link: https://www.econbiz.de/10012001782

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

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