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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...
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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...
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We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...
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reduction in growth volatility, of more than 50%, in the agricultural sector, and a gradual stabilization in services. On the … volatility is due to within-sector changes in volatility, structural change explains less than 5%. Correlates of African … remittances, and improved terms of trade (ToT), as well as lower volatility of ToT and financial flows. These developments were …
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