scholarly journals Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)

Data ◽  
2021 ◽  
Vol 6 (11) ◽  
pp. 113
Author(s):  
Pradeep Mishra ◽  
Khder Alakkari ◽  
Mostafa Abotaleb ◽  
Pankaj Kumar Singh ◽  
Shilpi Singh ◽  
...  
Keyword(s):  
Economic Policy ◽  
Structural Breaks ◽  
Structural Break ◽  
Consumer Price Index ◽  
Important Variable ◽  
Mixed Data ◽  
Large Set ◽  
Policy Uncertainty ◽  
Data Sampling ◽  
Economic Policy Uncertainty

Economics suffers from a blurred view of the economy due to the delay in the official publication of macroeconomic variables and, essentially, of the most important variable of real GDP. Therefore, this paper aimed at nowcasting GDP in India based on high-frequency data released early. Instead of using a large set of data thus increasing statistical complexity, two main indicators of the Indian economy (economic policy uncertainty and consumer price index) were relied on. The paper followed the MIDAS–Almon (PDL) weighting approach, which allowed us to successfully capture structural breaks and predict Indian GDP for the second quarter of 2021, after evaluating the accuracy of the nowcasting and out-of-sample prediction. Our results indicated low values of the RMSE in the sample and when predicting the out-of-sample1- and 4-quarter horizon, but RMSE increased when predicting the 10-quarter horizon. Due to the effect of the short-term structural break, we found that RMSE values decreased for the last prediction point.

scholarly journals Does Economic Policy Uncertainty Affect CO2 Emissions? Empirical Evidence from the United States

2020 ◽  
Vol 12 (21) ◽  
pp. 9108 ◽  
Author(s):  
Qing Wang ◽  
Kefeng Xiao ◽  
Zhou Lu
Keyword(s):  
United States ◽  
Economic Policy ◽  
Co2 Emissions ◽  
Structural Breaks ◽  
Unit Root Test ◽  
The United States ◽  
Policy Uncertainty ◽  
Energy Prices ◽  
Economic Policy Uncertainty ◽  
Long Run

This paper aims to examine the effects of economic policy uncertainty (measured by the World Uncertainty Index—WUI) on the level of CO2 emissions in the United States for the period from 1960 to 2016. For this purpose, we consider the unit root test with structural breaks and the autoregressive-distributed lag (ARDL) model. We find that the per capita income promotes CO2 emissions in the long run. Similarly, the WUI measures are positively associated with CO2 emissions in the long run. Energy prices negatively affect CO2 emissions both in the short run and the long run. Possible implications of climate change are also discussed.

THE ROLES OF ECONOMIC POLICY UNCERTAINTY AND THE COVID-19 PANDEMIC IN THE CORRELATION BETWEEN CRYPTOCURRENCY AND STOCK MARKETS

2020 ◽  
pp. 1-30
Author(s):  
LINGLING QIAN ◽  
YUEXIANG JIANG ◽  
HUAIGANG LONG ◽  
RUOYI SONG
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
The United States ◽  
Mixed Data ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Market Portfolio ◽  
Hedging Strategies ◽  
The World ◽  
The Impact

We are the first to explore the effect of economic policy uncertainty (EPU) and the COVID-19 pandemic on the correlation between the cryptocurrency index CRIX and the world stock market portfolio, as well as the hedging properties of CRIX. To this end, we mainly apply the dynamic conditional correlation model with mixed data sampling regressions, a threshold vector autoregressive model and the generalized impulse response function. We demonstrate that the correlation is influenced by the uncertainty stance of the economy and behaves differently in low-, medium- and high-uncertainty periods. Most of the abnormal market relations exist in high levels of EPU or during the COVID-19 period, and the impact of global EPU is greater than that of EPU originating in the United States, Europe, Russia and China. Moreover, the CRIX can serve as a hedge asset against the world stock market. The high (low) level of EPU has a significantly positive (negative) effect on the optimal hedge ratio of CRIX, which increases significantly during the COVID-19 period. Our findings have implications for risk management, portfolio allocations and hedging strategies.

Investigating the Uncertainty of Government Economic Policies on Inbound Tourism in Iran

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Azam Mohammadzadeh ◽  
Mohammad Nabi Shahiki Tash
Keyword(s):  
Economic Policy ◽  
Exchange Rate ◽  
Price Index ◽  
Consumer Price Index ◽  
Political Stability ◽  
Policy Uncertainty ◽  
Economic Policies ◽  
Economic Policy Uncertainty ◽  
Explanatory Variables ◽  
Inbound Tourism

AbstractOver the past three decades, there has been an increasing focus on the subject of global tourism in Iran’s economy. This article examines the most important economic factors affecting this industry in this country, especially economic policy uncertainty. For this purpose, three models specify the number of tourists entering the country as a dependent variable and Consumer Price Index, Tehran Exchange Price Index, market exchange rate, semi-annual dummy variable, and exports as explanatory variables. To investigate the uncertainty of the government’s economic policies, three variables liquidity fluctuations, tax revenue fluctuations, and government expenditures fluctuations have been added along with the above variables. To obtain the fluctuations, the GARCH function is used then the relations are estimated by the GMM method. The estimation of models using monthly data from March 2011 to August 2018 shows that explanatory variables are significant. The results indicate that economic policy uncertainty has negatively affected the arrival of the tourist. An increase in exchange rate, consumer price index, exports, and stock market price index have a positive effect on the arrival of tourists. Therefore, due to inbound tourism sensitivity to shocks, the growth and survival of tourism depend on economic and political stability.

INSURANCE CONSUMPTION AND ECONOMIC POLICY UNCERTAINTY IN INDIA: AN ANALYSIS OF ASYMMETRIC EFFECTS

2021 ◽  
pp. 1-29
Author(s):  
SIDDHARTH KUMAR ◽  
NARESH CHANDRA SAHU ◽  
PUSHP KUMAR
Keyword(s):  
Economic Policy ◽  
Life Insurance ◽  
Structural Break ◽  
Negative Relationship ◽  
Policy Uncertainty ◽  
Asymmetric Effect ◽  
Economic Policy Uncertainty ◽  
Asymmetric Effects ◽  
Distributed Lag ◽  
Insurance Consumption

This study examines the asymmetric effect of economic policy uncertainty (EPU) on life and non-life insurance consumption in India using monthly data from April 2004–October 2020. The paper has employed a nonlinear autoregressive distributed lag (NARDL) model with a structural break. The results reveal that there exists an asymmetric effect of EPU on life insurance as well as non-life life insurance consumption. A negative relationship is found between EPU and insurance consumption in both life and non-life insurance. Based on the findings, the study suggests the policymakers to consider the asymmetric effects of EPU while formulating insurance-related policies in India.

scholarly journals Impact of Economic Policy Uncertainty on Exchange Market Pressure

SAGE Open ◽  
2019 ◽  
Vol 9 (3) ◽  
pp. 215824401987627 ◽  
Author(s):  
Ifedolapo Olabisi Olanipekun ◽  
Godwin Olasehinde-Williams ◽  
Hasan Güngör
Keyword(s):  
Economic Policy ◽  
Foreign Exchange Market ◽  
Consumer Price Index ◽  
Policy Uncertainty ◽  
Exchange Market ◽  
Cross Sectional ◽  
Exchange Market Pressure ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Market Pressure

Capturing changes in foreign reserves and exchange rates through the exchange market pressure, this article investigates whether economic policy uncertainty plays any role in exchange market pressure movements while controlling for the effects of domestic and external factors. A panel of 20 countries was examined from 2003Q1 to 2017Q4 using panel techniques that are consistent in the presence of heterogeneity and cross-sectional dependence. The study finds that a long-run relationship exists between exchange market pressure and economic policy uncertainty. Our estimation results reveal that a rise in economic policy uncertainty, consumer price index, trade openness, and financial openness increases the severity of the exchange market pressure in the long run. However, gross domestic product (GDP) growth, domestic credit, and foreign direct investment inflows can cushion the effect of the pressure. Therefore, irrespective of whether a country operates fixed, flexible, or intermediate exchange rate regime, its foreign exchange market is still significantly affected by economic policy uncertainty.

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.

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