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 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...

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...

We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1-2020Q4, our global index is able to summarize a variety of uncertainty measures, such...

We develop indices of Twitter-based Chinese Climate Uncertainty (TC-CU) and Climate Policy Uncertainty (TC-CPU). Our indices spike with climate change-related president announcements, UN climate change conferences, climate change-related flood deaths, warning about melting glaciers in China's...

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...

The central function of a bank inherently exposes it to various financial risks where each of these risks has the possibility to influence stakeholders' perception. This perception, which is linked to the trustworthiness, credibility and performance of the bank, translates into the reputation of...

How does business complexity affect risk management in financial institutions? The commonly used risk measures rely on either balance-sheet or market-based information, both of which may suffer from identification problems when it comes to answering this question. Balance-sheet measures, such as...

The Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires large bank holding companies (BHCs) to project losses under stress scenarios. In this paper, we propose multiple benchmarks for operational loss projections and document the industry distribution relative to these...

In a setting where private information goes public for the first time, we study the real effects of the Basel II Accord requiring banks to calculate operational risk capital, and disclose qualitative and quantitative information. Using a difference-in-differences setup featuring partial US...