We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission … factors from such indicators into a framework that can simultaneously estimate historical macroeconomic uncertainty and its …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … indices of monetary, fiscal and trade policy uncertainty for each country, as well as three measures of option-implied stock … strong sources of uncertainty spillovers throughout the sample period. …

This paper proposes the volatility of sovereign credit default swaps (CDS) as a measurement of economic uncertainty … volatility of sovereign CDS spreads contains information about economic uncertainty. For a broad panel of 16 countries we find … that sovereign CDS volatility shares directional information with popular news-based economic policy uncertainty (EPU …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

We study the trading behavior of short sellers in the presence of economic policy uncertainty (EPU). Daily short … interest under high political uncertainty is from shorting stocks characterized by higher mispricing, greater policy …

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 growth, and disagreement among professional forecasters about future …

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …

We investigate the effects of economic uncertainty on the return volatility of financial assets, including equities …, bonds, foreign exchange and commodities. We use several popular measures of economic uncertainty, and find the uncertainty … displays significant but heterogeneous effect on financial volatility. Economic uncertainty constructed in a data rich …

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 economic policy uncertainty, the number of federal tax code provisions set …