scholarly journals Asymmetric Risk Spillover Networks and Risk Contagion Driver in Chinese Financial Markets: The Perspective of Economic Policy Uncertainty

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Zongxin Zhang ◽  
Ying Chen ◽  
Weijie Hou
Keyword(s):  
Economic Policy ◽  
Real Estate ◽  
Financial Markets ◽  
Financial Risk ◽  
Positive Impact ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Impact

The global financial market shocks have intensified due to the COVID-19 epidemic and other impacts, and the impacts of economic policy uncertainty on the financial system cannot be ignored. In this paper, we construct asymmetric risk spillover networks of Chinese financial markets based on five sectors: bank, securities, insurance, diversified finance, and real estate. We investigate the complexity of the risk spillover effect of Chinese financial markets and the impact of economic policy uncertainty on the level of network contagion of financial risk. The study yields three findings. First, the cross-sectoral risk spillover effects of Chinese financial markets are asymmetric in intensity. The bank sector is systemically important in the risk spillover network. Second, the level of risk stress in the real estate sector has increased in recent years, and it plays an important role in the path of financial risk contagion. Third, Economic policy uncertainty has a significant positive impact on the level of network contagion of financial risk of Chinese financial markets.

DOES CHANGE IN ECONOMIC POLICY UNCERTAINTY AFFECT REAL ESTATE INVESTMENT TRUSTS (REITs)?

2019 ◽  
Vol 14 (04) ◽  
pp. 1950016
Author(s):  
RANJEETA SADHWANI ◽  
SURESH KUMAR OAD RAJPUT ◽  
ASAD ALI-RIND ◽  
MUHAMMAD TAHIR SULEMAN
Keyword(s):  
Economic Policy ◽  
Real Estate ◽  
Positive Relationship ◽  
Real Estate Investment Trusts ◽  
Policy Uncertainty ◽  
Real Estate Investment ◽  
Macroeconomic Variables ◽  
Economic Policy Uncertainty ◽  
Investment Trusts ◽  
The Impact

This study aims to find the impact of change in economic policy uncertainty (EPU) on the returns and volatilities of 11 CRSP Ziman value-weighted US real estate investment trusts (REITs) during 1985–2016. The results indicate that the change in EPU has a positive relationship with volatility and a negative one with the REITs returns. Among EPU components, news-based component has the major impact than the others. Change in economic policy uncertainty has a significant impact on the returns of all the indices except hybrid, healthcare and unclassified REITs after controlling for macroeconomic variables. Whereas, the volatility is mainly explained by its own past values and macroeconomic variables.

Mixed frequency domain spillover effect of international economic policy uncertainty on stock market

Kybernetes ◽  
2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shuzhen Zhu ◽  
Xiaofei Wu ◽  
Zhen He ◽  
Yining He
Keyword(s):  
International Economic ◽  
Economic Policy ◽  
Stock Market ◽  
Frequency Domain ◽  
Time Domain ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Policy Uncertainty ◽  
Content Type ◽  
Economic Policy Uncertainty

Purpose The purpose of this paper is to construct a frequency-domain framework to study the asymmetric spillover effects of international economic policy uncertainty on China’s stock market industry indexes. Design/methodology/approach This paper follows the time domain spillover model, asymmetric spillover model and frequency domain spillover model, which not only studies the degree of spillover in time domain but also studies the persistence of spillover effect in frequency domain. Findings It is found that China’s economic policy uncertainty plays a dominant role in the spillover effect on the stock market, while the global and US economic policy uncertainty is relatively weak. By decomposing realized volatility into quantified asymmetric risks of “good” volatility and “bad” volatility, it is concluded that economic policy uncertainty has a greater impact on stock downside risk than upside risk. For different time periods, the sensitivity of long-term and short-term spillover economic policy impact is different. Among them, asymmetric high-frequency spillover in the stock market is more easily observed, which provides certain reference significance for the stability of the financial market. Originality/value The originality aims at extending the traditional research paradigm of “time domain” to the research perspective of “frequency domain.” This study uses the more advanced models to analyze various factors from the static and dynamic levels, with a view to obtain reliable and robust research conclusions.

scholarly journals COVID-19, Oil Price, Bitcoin, and US Economic Policy Uncertainty: Evidence from ARDL Model

2021 ◽  
Vol 13 (11) ◽  
pp. 88
Author(s):  
Hanan Naser
Keyword(s):  
Economic Policy ◽  
Financial Market ◽  
Global Economy ◽  
Positive Impact ◽  
Oil Price ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Impact

The pandemic of coronavirus (COVID-19) creates fear and uncertainty causing extraordinary disruption to financial markets and global economy. Witnessing the fastest selloff in the American stock market in history with a plunge of more than 28% in S&P 500 has increased the volatility of global financial market to exceed the level observed during the financial crisis of 2008. On the other hand, Bitcoin value has shown considerable stability in the last couple of months peaking at $10,367.53 in the mid of February 2020. In this context, the aim of this paper is to investigate the impact of COVID-19 numbers on Bitcoin price taking into consideration number of controlling variables including WTI-oil price, S&P 500 index, financial market volatility, gold prices, and economic policy uncertainty of the US. To do so, ARDL estimation has been applied using daily data from December 31, 2019 till May 20, 2020. Key findings reveal that the daily reported cases of new infections have a marginal positive impact on Bitcoin price in the long term. However, the indirect impact associated with the fear of COVID-19 pandemic via financial market stress cannot be neglected. Bitcoin can also serve as a hedging tool against the economic policy uncertainty in the long term. In the short run, while the returns of economic policy uncertainty have no impact on Bitcoin price, the growth in the new cases of COVID-19 infection and returns of financial market volatility have more positive significant impact on Bitcoin returns.

scholarly journals Whether Digital Financial Inclusion Can Improve Capital Misallocation or Not: A Study Based on the Moderating Effect of Economic Policy Uncertainty

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Guohua He ◽  
Lu Shen
Keyword(s):  
Economic Policy ◽  
Rural Areas ◽  
Spillover Effect ◽  
Financial Inclusion ◽  
Policy Uncertainty ◽  
Economic Policies ◽  
Real Economy ◽  
Economic Policy Uncertainty ◽  
The Impact ◽  
Positive Effect

This paper discusses the impact of digital financial inclusion on regional capital’s turn from the fictitious to the substantial economy. The continuous decline of the capital efficiency of the real economy is an important reason for the misallocation of financial capital, such as the financialization of real enterprises. Development of the digital financial inclusion helps to relieve small and micro businesses from financing constraints, encourage civilian consumption, and improve services concerning issues of agriculture, rural areas, and farmers. Yet, its financial features also indicate potential systematic risks, manifested as the capital’s departure from its intended purpose of serving the substantial economy, given some beneficiaries’ investment in the fictitious economy. Based on the provincial panel data between 2011 and 2019, this paper constructs an index describing capital’s diversion from the fictitious to the substantial economy. This paper then analyzes the impact of digital financial inclusion on such a diversion of the regional capital, investigating the regulatory effects caused by the uncertainty in economic policies. Empirical study reveals that digital financial inclusion has an evident positive effect on regional capital’s diversion from the fictitious to the substantial economy but without any spatial spillover effect. Among the three subdimensions of digital financial inclusion-scope of coverage, depth of usage, and level of digitalization, the scope of coverage has the strongest positive effect, and digitization level, the weakest. The positive correlation between digital financial inclusion and capital diversion from the fictitious to the substantial economy is under negative regulation due to economic policy uncertainty. In other words, increasing uncertainty in the economic policy would weaken digital financial inclusion’s support of the substantial economy.

scholarly journals Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets

Complexity ◽  
2022 ◽  
Vol 2022 ◽  
pp. 1-9
Author(s):  
Xinyu Wu ◽  
Meng Zhang ◽  
Mengqi Wu ◽  
Hao Cui
Keyword(s):  
Economic Policy ◽  
Stock Markets ◽  
Goodness Of Fit ◽  
Positive Impact ◽  
Tail Dependence ◽  
Mixed Data ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Conditional Dependence ◽  
The Impact

In this paper, we investigate the impact of economic policy uncertainty (EPU) on the conditional dependence between China and U.S. stock markets by employing the Copula-mixed-data sampling (Copula-MIDAS) framework. In the case of EPU, we consider the global EPU (GEPU), the American EPU (AEPU), and the China EPU (CEPU). The empirical analysis based on the Shanghai Stock Exchange Composite (SSEC) index in China and the S&P 500 index in the U.S. shows that the tail dependence between China and U.S. stock markets is symmetrical, and the t Copula outperforms alternative Copulas in terms of in-sample goodness of fit. In particular, we find that the t Copula-MIDAS model with EPU dominates the traditional time-varying t Copula in terms of in-sample fitting. Moreover, we observe that both the GEPU and AEPU have a significantly positive impact on the conditional dependence between China and U.S. stock markets, whereas CEPU has no significant impact. The tail dependence between China and U.S. stock markets exhibits an increasing trend, particularly in the recent years.

scholarly journals Economic Policy Uncertainty, Environmental Regulation, and Green Innovation—An Empirical Study Based on Chinese High-Tech Enterprises

2021 ◽  
Vol 18 (18) ◽  
pp. 9503
Author(s):  
Yue Zhu ◽  
Ziyuan Sun ◽  
Shiyu Zhang ◽  
Xiaolin Wang
Keyword(s):  
Economic Policy ◽  
Environmental Regulation ◽  
Positive Impact ◽  
Environmental Regulations ◽  
High Tech ◽  
Policy Uncertainty ◽  
Green Innovation ◽  
Economic Policy Uncertainty ◽  
Innovation Output ◽  
The Impact

As the continuous changes in environmental regulations have a non-negligible impact on the innovation activities of micro subjects, and economic policy uncertainty has become one of the important influencing factors to be considered in the development of enterprises. Therefore, based on the panel data of Chinese high-tech enterprises from 2012–2017, this paper explores the impact of heterogeneous environmental regulations on firms’ green innovation from the perspective of economic policy uncertainty as a moderating variable. The empirical results show that, first, market-incentivized environmental regulation instruments have an inverted U-shaped relationship with innovation output, while voluntary environmental regulation produces a significant positive impact. Second, the U-shaped relationship between market-based environmental regulation and innovation output becomes more pronounced when economic policy uncertainty is high. However, it plays a negative moderating role in regulating the relationship between voluntary-based environmental regulation and innovation output. This paper not only illustrates the process of technological innovation by revealing the intrinsic mechanism of environmental regulation on firm innovation, but also provides insights for government in environmental governance from the perspective of economic policy uncertainty as well.

scholarly journals COVID-19, Oil Price, Bitcoin, and US Economic Policy Uncertainty: Evidence from ARDL Model

2021 ◽  
Vol 13 (11) ◽  
pp. 92
Author(s):  
Hanan Naser
Keyword(s):  
Economic Policy ◽  
Financial Market ◽  
Global Economy ◽  
Positive Impact ◽  
Oil Price ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Impact

The pandemic of coronavirus (COVID-19) creates fear and uncertainty causing extraordinary disruption to financial markets and global economy. Witnessing the fastest selloff in the American stock market in history with a plunge of more than 28% in S&P 500 has increased the volatility of global financial market to exceed the level observed during the financial crisis of 2008. On the other hand, Bitcoin value has shown considerable stability in the last couple of months peaking at $10,367.53 in the mid of February 2020. In this context, the aim of this paper is to investigate the impact of COVID-19 numbers on Bitcoin price taking into consideration number of controlling variables including WTI-oil price, S&P 500 index, financial market volatility, gold prices, and economic policy uncertainty of the US. To do so, ARDL estimation has been applied using daily data from December 31, 2019 till May 20, 2020. Key findings reveal that the daily reported cases of new infections have a marginal positive impact on Bitcoin price in the long term. However, the indirect impact associated with the fear of COVID-19 pandemic via financial market stress cannot be neglected. Bitcoin can also serve as a hedging tool against the economic policy uncertainty in the long term. In the short run, while the returns of economic policy uncertainty have no impact on Bitcoin price, the growth in the new cases of COVID-19 infection and returns of financial market volatility have more positive significant impact on Bitcoin returns.

scholarly journals Financial sector and economic growth amid external uncertainty shocks: Insights into emerging economies

PLoS ONE ◽  
2021 ◽  
Vol 16 (11) ◽  
pp. e0259303
Author(s):  
Emmanuel Asafo-Adjei ◽  
Ebenezer Boateng ◽  
Zangina Isshaq ◽  
Anthony Adu-Asare Idun ◽  
Peterson Owusu Junior ◽  
...  
Keyword(s):  
Economic Growth ◽  
South Africa ◽  
Economic Policy ◽  
Financial Markets ◽  
Financial Sector ◽  
Bivariate Analysis ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Cross Correlations ◽  
The Impact

The study aims to shed new lights on the lead-lag relationships between the financial sector (RFSI) and economic growth (GDP) in the midst of global economic policy uncertainty (GEPU) shocks for BRICS economies. Hence, the bivariate, partial, and wavelet multiple correlations techniques are employed. From the bivariate analysis, we document positive bi-directional causality between the RFSI and economic growth over the sample period. The partial wavelet reveals that GEPU shocks distort the significance and directional comovements between the RFSI and GDP. Moreover, the outcome from the wavelet multiple cross correlations (WMCC) indicates that the RFSI is a first mover at most time scales for the BRICS economies. This is followed by GEPU which either leads or lags for most scales, especially for South Africa. The impact of GEPU on RFSI and GDP is worst for South Africa in about four cases in the medium-, and long-terms. This signifies that South Africa’s financial markets and economic growth are vulnerable to GEPU. However, the impetus for GEPU to drive the comovements between the financial sector and economic activity was less pronounced in the pre-COVID analysis conducted with the WMCC. The study supports both the supply-leading and demand-following hypotheses. Our findings also underscore the need for policymakers, investors and academics alike to incessantly observe the dynamics between finance and growth across time and periodicity while considering adverse shocks from global economic policy uncertainty in tandem.

scholarly journals Do Economic Policy Uncertainty and Geopolitical Risk Lead to Environmental Degradation? Evidence from Emerging Economies

2021 ◽  
Vol 13 (11) ◽  
pp. 5866
Author(s):  
Muhammad Khalid Anser ◽  
Qasim Raza Syed ◽  
Hooi Hooi Lean ◽  
Andrew Adewale Alola ◽  
Munir Ahmad
Keyword(s):  
Economic Policy ◽  
Renewable Energy ◽  
Environmental Degradation ◽  
Emerging Economies ◽  
Ecological Footprint ◽  
Policy Implications ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Integration Test ◽  
The Impact

Since the turn of twenty first century, economic policy uncertainty (EPU) and geopolitical risk (GPR) have escalated across the globe. These two factors have both economic and environmental impacts. However, there exists dearth of literature that expounds the impact of EPU and GPR on environmental degradation. This study, therefore, probes the impact of EPU and GPR on ecological footprint (proxy for environmental degradation) in selected emerging economies. Cross-sectional dependence test, slope heterogeneity test, Westerlund co-integration test, fully modified least ordinary least square estimator, dynamic OLS estimator, and augmented mean group estimator are employed to conduct the robust analyses. The findings reveal that EPU and non-renewable energy consumption escalate ecological footprint, whereas GPR and renewable energy plunge ecological footprint. In addition, findings from the causality test reveal both uni-directional and bi-directional causality between a few variables. Based on the findings, we deduce several policy implications to accomplish the sustainable development goals in emerging economies.

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