Abstract In this study, we develop the first daily news-based Economic Policy Uncertainty (EPU) index for Nigeria, which was previously not covered in recent EPU indices. The need to track economic ...uncertainties in Nigeria becomes crucial for investment and policy, especially with the renewed interest in the country as an important investment destination. To construct the EPU index, we use relevant keywords from articles in prominent newspapers in the country, covering the aftermath of the global financial crisis and the COVID pandemic, with a data scope of January 2010 to November 2022. We evaluate the predictability of the index by examining its connection with economic and financial variables like exchange rates, stock prices, and inflation in Nigeria. The results are robust to alternative model specifications, data frequencies, and multiple forecast horizons. We hope to extend this exercise to other useful indices, including Geopolitical Risk, Financial Stress Indicators, and Monetary Policy Uncertainty, which are not readily available for Africa, including Nigeria.
•Higher economic policy uncertainty leads to increases in stock volatility.•Adding EPU to the volatility models can improve the forecasting accuracy.•The forecasting improvement is robust to the ...model specifications.
This paper investigates the predictability of economic policy uncertainty (EPU) to stock market volatility. Our in-sample evidence suggests that higher EPU leads to significant increases in market volatility. Out-of-sample findings show that incorporating EPU as an additional predictive variable into the existing volatility prediction models significantly improves forecasting ability of these models. The improvement is robust to the model specifications.
•Non-performing loans in France, Germany, Italy and Spain in 2005–2017.•The effect of economic policy uncertainty and bank concentration on NPLs.•The effect of uncertainty on NPLs is moderated by ...higher bank concentration.
Following the financial and debt crises in the euro area and the delays in formulating a cohesive policy response, banks faced serious problems with the increase in non-performing loans (NPLs) being the most threatening. Economic policy uncertainty (EPU) has often been blamed for initiating and propagating NPLs. In this study, we attempt to estimate empirically if EPU has a significant effect on NPLs and if this effect can be restrained by another legacy of the crisis, namely bank concentration. By employing a panel dataset of 507 banks from four major euro area countries (France, Germany, Italy and Spain) during the period 2005–2017, we find that EPU has a positive impact on NPLs but this impact is significantly moderated by higher bank concentration.
•We study whether Bitcoin is affected by EPU from a risk spillover view.•Both the MVQM-CAViaR and the Granger causality risk test are used.•The risk spillover effect from EPU to Bitcoin is negligible ...in most conditions.•Our finding is robust to data frequency, the influence of the 2013/12 Bitcoin price crash and instantaneous correlations.•Bitcoin can be acted as a safe-haven or a diversifier under EPU shocks.
Bitcoin was launched to solve the distrust and uncertainty in the existing financial system. Here we investigate risk spillover effect from economic policy uncertainty (EPU) to Bitcoin using a multivariate quantile model and the Granger causality risk test. We use the US EPU index, equity market uncertainty index, and VIX as proxies for EPU. We find that risk spillover effect from EPU to Bitcoin is negligible in most conditions. Our work provides useful information on building asset portfolios for investors who have investment strategies in Bitcoin, because Bitcoin can be acted as a safe-haven or a diversifier under EPU shocks.
Existing literature recommends the essential role of renewable energy consumption (REC) in achieving environmental sustainability. Although prior works have investigated the significant factors of ...REC, the effect of green environmental policies remains largely understudied, particularly in OECD countries. Therefore, this study specifically examines the role of environmental policy stringency (EPS) in enhancing (or diminishing) REC in 27 OECD economies between 2000 and 2019. Furthermore, we aim to specify the determinants of REC and investigate whether EPS could help moderate the relationship between global economic policy uncertainty (GEPU) and REC. To accomplish this, we employ both the fixed effects and panel quantile estimation methods. The findings underline that EPS has a positive and significant impact on REC, indicating that stricter green environmental policies lead to encouraging REC. Besides, the findings show that EPS has a beneficial role in lessening the negative effect of GEPU on REC, and its negative effect on REC is more moderated as moves from environments with low EPS to high EPS. The results also underscore that financial market development, FDI, remittances, technological innovation, and economic development positively promote REC whereas CO2 and natural resources rents have a detrimental impact. The findings are significant and a wide range of policy suggestions is recommended to governments, policymakers, and regulators to attain the energy and environmental sustainability targets set out in SDG 7 and SDG 13, respectively.
Objective: This study examines the influence of economic policy uncertainty in countries with the largest capital investments in Indonesia, such as Singapore, China, Hong Kong, Japan, the United ...States, Korea, and the United Kingdom, on the credit growth of commercial banks in Indonesia. Design/Methods/Approach: The sample of this study is all commercial banks in Indonesia from January 2011 to December 2022. This study uses a quantitative approach, using monthly aggregate data on credit growth of commercial banks in Indonesia and economic policy uncertainty data for each country. Hence, the number of observations in this study amounts to 144. This study uses multiple linear regression with the EViews 12 analysis tool. Findings: The findings in this study show that the influence of economic policy uncertainty in the country with the largest capital investment in Indonesia has various influences. Of the several countries that were observed in the study, Japan was one of the countries that had a significant negative impact on the growth of commercial bank credit in Indonesia. Originality/Value: This study complements several previous studies regarding the impact of economic policy uncertainty on Indonesia's micro and macro economy. Studies regarding the impact of economic policy uncertainty on Indonesia's banking credit growth are still limited. Practical/Policy implication: The findings of this study can be used as a reference for banking managers when making decisions such as credit portfolio diversification. By spreading exposure to various sectors and industries, banks can reduce risks related to economic uncertainty in specific sectors. Banking managers need to design products and services that are more creative and adaptive to help banks remain competitive and attract customer interest amidst an uncertain economic situation.
The European Union Emission Trading Scheme is a carbon emission allowance trading system designed by Europe to achieve emission reduction target. The amount of carbon emission caused by production ...activities is closely related to the socio-economic environment. Therefore, from the perspective of economic policy uncertainty, this article constructs the GARCH-MIDAS-EUEPU and GARCH-MIDAS-GEPU models for investigating the impact of European and global economic policy uncertainty on the volatility of the European carbon market. The results show that both European and global economic policy uncertainty will exacerbate the long-term volatility of European carbon spot return, with the latter having a stronger impact when the change is the same. Moreover, the volatility of the European carbon spot return can be forecasted better by the predictor, global economic policy uncertainty. This research can provide some implications for market managers in grasping carbon market trends and helping participants control the risk of fluctuations in carbon allowances.
Sentiment, mood and outbound tourism demand Dragouni, Mina; Filis, George; Gavriilidis, Konstantinos ...
Annals of tourism research,
September 2016, 2016-09-00, Volume:
60
Journal Article
Peer reviewed
Open access
•We examine the relationship among sentiment, mood and outbound tourism demand.•The total spillover index fluctuates between 25% and 55% during the sample period.•Sentiment and mood are transmitters ...of spillover shocks to outbound tourism demand.•The magnitude of spillover effects is time-varying.•The size of spillover effects depends on socio-economic and environmental events.
We investigate spillover effects from sentiment and mood shocks on US outbound tourism demand from 1996 until 2013. We use the Index of Consumer Sentiment and Economic Policy Uncertainty Index as proxies for sentiment and the S&P500 as a proxy for mood. We find a moderate to high interrelationship among sentiment, mood and outbound tourism demand. More importantly, sentiment and mood indicators are net transmitters of spillover shocks to outbound tourism demand. The magnitude of spillover effects sourced by sentiment and mood is time-varying and depends on certain socio-economic and environmental events. Our results have important implications for policymakers and travel agents in their efforts to predict tourism arrivals from key origin countries and to plan their tourism strategy.
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