Narrow search
Showing 1 - 10 of 11,022
Cover Image
Effects of economic policy uncertainty shocks on the long-run US-UK stock market correlation
Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan - 2016
Persistent link: https://www.econbiz.de/10011541711
Cover Image
Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation
Asgharian, Hossein - 2020
We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations, primarily for the US and the UK. We find that US EPU shocks affect both US and UK stock market long-run variances and correlation, but UK EPU shocks only affect its own...
Persistent link: https://www.econbiz.de/10012855094
Cover Image
Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market
Li, Xiaoming - 2015
This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...
Persistent link: https://www.econbiz.de/10013024205
Cover Image
The policy uncertainty and market volatility puzzle : evidence from wavelet analysis
Tiwari, Aviral Kumar; Jana, R. K.; Roubaud, David - In: Finance research letters 31 (2019), pp. 278-284
Persistent link: https://www.econbiz.de/10012421584
Cover Image
Fearing the Fed : how Wall Street reads main street
Law, Tzuo Hann; Song, Dongho; Yaron, Amir - 2019
Persistent link: https://www.econbiz.de/10012174214
Cover Image
COVID-induced economic uncertainty
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020
Persistent link: https://www.econbiz.de/10012204869
Cover Image
Dynamic impacts of economic policy uncertainty on australian stock market : an intercontinental evidence
Bairagi, Ranajit Kumar - In: Journal of emerging market finance 21 (2022) 1, pp. 64-91
Persistent link: https://www.econbiz.de/10013171277
Cover Image
Do economic policy uncertainty indices matter in joint volatility cycles between US and Japanese stock markets?
Chang, Kuang-Liang - In: Finance research letters 47 (2022) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10013457481
Cover Image
Forecasting stock market volatility with macroeconomic variables in real time
Döpke, Jörg (contributor); Hartmann, Daniel (contributor);  … - 2006
We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we … used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is … that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of …
Persistent link: https://www.econbiz.de/10003315444
Cover Image
Can macroeconomic volatility affect stock market volatility? : the case of 5 central and eastern European countries
Baroian, Elena - In: Romanian journal of fiscal policy : RJFP 5 (2014) 2, pp. 41-55
This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging … discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the …
Persistent link: https://www.econbiz.de/10010492726