This paper studies how the extreme price co-movement of commodity futures indicates industrial production (IP) growth. In this regard, we model synchronized movements and large price changes into one measure by characterizing upside and downside price extremes. We find that the derived price...

This paper provides a new index of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The index measures the dispersion of forecasts resulting from parameter uncertainty in the GVAR. Over the period...

This study investigates the effects of geopolitical risk (GPR) on asset markets in 17 advanced countries from 1899 to 2016 using novel GPR indices. First, compared with housing returns, stock returns are more sensitive to increases in GPR: on average, an increase in GPR significantly decreases...

We investigate the ambiguity spillover among international equity markets. We follow Brennan and Izhakian (2018) and develop monthly ambiguity measures using high-frequency trading data of equity indices. The ambiguity spillover demonstrates noticeable asymmetry. The US equity market is the...

In our paper, we provide a review of the literature to identify the main transmission channels through which geopolitical risks (GPR) influence m a cro-financial st ab ility. We be gi n by analyzing the existing measures of geopolitical tensions and uncertainty, showing that GPR impacts economic...

We examine the impact of economic policy uncertainty on innovation using cross-country industry data and how country institutions moderate this relationship. Our findings show that economic policy uncertainty impedes innovation output and quality. Our study uncovers three economic mechanisms...

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...

This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on...

Sell-side fundamental analyst reports are highly valued in the financial industry and include three main quantitative components: earnings forecasts, target prices, and buy/sell recommendations. An important question for investment managers is then, how accurate are the forecasts of fundamental...