This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). The economic effects of trade policy uncertainty associated with changes in … The war destroyed property and killed large numbers of soldiers and civilians. With each monthly update, data from the preceding two months may be revised slightly, as well. This article aims to examine the link between European economic policy uncertainty (EPU) and tourism activities in Portugal, Ireland, Italy, Greece, and Spain using wavelet transform context structures. The results show that the global economic policy uncertainty provides the highest predictive gains, followed by the European and US stock market realized volatilities. We study the relationship between economic policy uncertainty and systemic risk for nine European countries in January 2010–September 2016 by applying conventional Granger causality tests and advanced techniques (wavelet analysis and Bayesian VARs). This innovative technique allows the decomposition of … This is driven by the fact that some online newspapers do not immediately update their online archives with all articles, leading to slightly changing totals for the previous 1-2 months. Economic policy uncertainty (EPU) has recently gained increasing attention as a driving force of the business cycle. The Business and Consumer Surveys (BCS) administered by the European Commission The most popular version is the Economic Policy (56) Recent research provides a framework to identify the impacts of policy uncertainty on firm decisions, and finds it has strong effects in the context of international trade. Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. For example, estimates for trade are based on studies that measured UK exports to the EU and the rest of the world to be about 13 per cent lower compared to a hypothetical world in which the UK voted to stay in the EU. These policy interventions contributed to avoiding an even deeper recession and long-lasting economic scars on the European economy. Recent events, such as the financial and sovereign debt crisis in Europe, have triggered uncertainty about a possible bailout of Greece, continuity of the Eurozone and the capacity of policy makers to solve the crisis in general. Economic policy uncertainty is defined as the agents’ inability to foresee outcomes for fiscal, regulatory, monetary and trade policies. The choice to employ firms’ trade exposure as the central margin of variation reflects recent findings in the literature. Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going debt crisis and the Brexit vote. Forecasting the economic policy uncertainty in Europe is of huge importance given the on-going debt crisis and the Brexit vote. Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going sovereign debt crisis. Economic Policy Uncertainty Index: Categorical Index: Fiscal Policy (Taxes OR Spending) Index, Monthly, Not Seasonally Adjusted Jan 1985 to Feb 2021 (2 days ago) Economic Policy Uncertainty Index for Europe The coronavirus pandemic represents a very large shock for the global and EU economies, with very severe economic and social consequences. We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven European Monetary Union (EMU) countries. Their approach is laid out in the research note "The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium", available here. Policy uncertainty (also called regime uncertainty) is a class of economic risk where the future path of government policy is uncertain, raising risk premia and leading businesses and individuals to delay spending and investment until this uncertainty has been resolved. Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Graph and download economic data for Economic Policy Uncertainty Index for Europe (EUEPUINDXM) from Jan 1987 to Mar 2021 about uncertainty, Spain, Italy, academic data, France, Germany, United Kingdom, Europe, and indexes. The war destroyed property and killed large numbers of soldiers and civilians. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra‐high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no‐change forecast. Abstract. Old imperial powers were dissolved, and new nation states were formed. Special Issue: “Financial Econometrics and Empirical Modelling of Financial Markets”. Put differently, German newspapers writing about Brexit and associated economic uncertainty in the UK is counted towards an increasing EPU in Germany and to quantify. Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going sovereign debt crisis. The impact of policy uncertainty on economic activity is potentially important, but controversial because it is hard to identify and quantify. The country-level analyses show that the lead-lag patterns vary considerably in the short and longer run as well as at different frequencies. Economic policy uncertainty (EPU) has recently gained increasing attention as a driving force of the business cycle. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra-high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no-change forecast. For the European-wide EPU index, we average equally across all 10 European newspapers. China’s WTO accession secured its most-favoured nation status Last update September 10, 2020. Downloadable! We scale the raw EPU count by a measure of the number of articles in the same newspaper and month. Economic policy uncertainty is caused when investors, consumers and policymakers aren't able to expect changes affecting their decision making in trade, stock markets and in the economy. We standardize each newspaper-level monthly series to unit standard deviation prior to 2011 and average across newspapers by month to obtain country-level and European EPU indexes, which we normalize to a mean of 100 prior to 2011. We construct these country-level indexes in the same manner as our EPU index based on American newspapers. Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). Note The most recent value of the EPU Index for the United Kingdom is especially subject to revision in the following month. Economic policy uncertainty is caused when investors, consumers and policymakers aren't able to expect changes affecting their decision making in trade, stock markets and in the economy. economic policy uncertainty indexes are based on newspaper articles related to policy uncertainty; specifically, by counting the number of newspaper articles the words “uncertain” or that include “uncertainty” , policy-significant terms, and “econ omic” or “economy” . In addition, the European stock market implied volatility index is shown to be an important predictor of the economic policy uncertainty. We construct these country-level indexes in the same manner as our EPU index based on American newspapers. Empirical studies that simultaneously include several indicators of economic conjuncture – such as the unemployment rate, the economic policy uncertainty index, the cost of public debt, and the consumer confidence index – do not explain all the decline in birth rates in Europe and the US in the period 2008-2013 (e.g., Goldstein et al. relative to economic uncertainty, policy uncertainty is of particular interest because it can be moderated, if not altogether avoided, by governments. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra‐high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no‐change forecast. If you do not receive an email within 10 minutes, your email address may not be registered, We use a time-varying parameter FAVAR model to investigate the effects of economic policy uncertainty (EPU) on a wide range of macroeconomic variables for eleven European Monetary Union (EMU) countries. The analysis also considers the momentum effect, stock market returns volatility and equity pricing inefficiencies across markets, which, to the best of the authors’ knowledge, has not been addressed in the literature. A popular metric of economic policy uncertainty is based on the number of newspaper articles containing the words “uncertainty” or “uncertain” and “economics” or “economy” and policy For the European EPU index, BBD weights EU countries equally and does not distinguish between local and international policy uncertainty. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra-high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no-change forecast. Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). Economic Policy Uncertainty Index for Europe Index, Monthly, Not Seasonally Adjusted Jan 1987 to Mar 2021 (2 days ago) Economic Policy Uncertainty Index: Categorical Index: Trade policy Economic activity in Europe suffered a severe shock in the first half of the year and rebounded strongly in the third quarter as containment measures were gradually lifted. The WUI was developed by … To measure European policy-related economic uncertainty, we construct an index based on newspaper articles regarding policy uncertainty. The concept of economic policy uncertainty has gained particular importance in recent years. 2Postgraduate Department of Business Administration, Hellenic Open University, Aristotelous 18, 26 335, Greece. We draw on two newspapers per country for the European indexes: Le Monde and Le Figaro for France, Handelsblatt and Frankfurter Allgemeine Zeitung for Germany, Corriere Della Sera and La Stampa for Italy, El Mundo and El Pais for Spain, and The Times of London and Financial Times for the United Kingdom. and you may need to create a new Wiley Online Library account. It affects firms' decisions related to significant sunk costs. Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. By contrast, Brexit has brought about an unusually persistent jump in u… We use a time-varying parameter FAVAR model to investigate the effects of economic policy uncertainty (EPU) on a wide range of macroeconomic variables … Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. The full text of this article hosted at iucr.org is unavailable due to technical difficulties. 1 Forecasting European Economic Policy Uncertainty Stavros Degiannakis1,2 and George Filis3,* 1Department of Economics and Regional Development, Panteion University of Social and Political Sciences, 136 Syggrou Avenue, 17671, Greece. This article aims to examine the link between European economic policy uncertainty (EPU) and tourism activities in Portugal, Ireland, Italy, Greece, and Spain using wavelet transform context structures. We conduct all searches in the native language of the newspaper in question. Learn more. Economic policy uncertainty 4 | January 23, 2018 EU Monitor recently. European economic policy uncertainty (EPU) index as well as tick‐by‐tick front‐month futures contracts data of two major European stock market indices (FTSE100 and Eurostoxx 50) and two major currencies (GBP/USD and EUR/USD). Use the link below to share a full-text version of this article with your friends and colleagues. For the EU economies, we estimate that without the policy actions and the strong EU support, economic activity might have been an additional 3-4 percentage points of GDP lower in 2020. (2016), Economic Policy Uncertainty (EPU) has been used as a major proxy for uncertainty measurement. Other shocks that boosted uncertainty, such as the 9/11 attacks or the collapse of Lehman Brothers, typically were one-off events with a traumatic initial impact that quickly faded. Based on the analyses of monthly returns on the major stock market indices in these countries from 1993:2 to 2012:4, the results show that the changes in economic policy uncertainty in Europe negatively affect all stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine, and the effect is statistically significant for all countries except …
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