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Browsing Research Articles (Economics) by Subject "Uncertainty"
Now showing items 1-20 of 34
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(Economics Bulletin, 2020-03)We analyze the convergence of a news-based measure of uncertainty across 143 countries (spanning 99 percent of world GDP) over the quarterly period of 1996Q1 to 2018Q3. We apply a panel data-based unit root test, ...
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(De Gruyter, 2020-06)This paper investigates how the Federal Reserve (Fed) and the Bank of England, Bank of Japan and the European Central Bank reacted in the aftermath of the financial crisis by making use of both conditional and ...
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Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test (Elsevier, 2016-09)Much significant research has been done to study the links between gold returns and the returns of other asset classes in times of economic crisis and high uncertainty. We contribute to this research by using a novel ...
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(Elsevier, 2021-12)This paper investigates the impact of uncertainty shocks on REITs returns over a monthly period from 1972:01 to 2015:12, and sub-samples from 1972:01 to 2009:06, and 2009:07 to 2015:12, to accommodate for the possible ...
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(Asia University, Taiwan, 2019-03)This paper examines the link between economic policy uncertainty and herding behaviour in financial markets with an application to the South African housing market. Building on the evidence in the literature that herding ...
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(Routledge, 2020)We explore the asymmetric high-frequency daily response of U.S. equities to financial uncertainty over the 1936–2016 period. We find positive growth of uncertainty reduces stock returns and increases volatility, while, a ...
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The effectiveness of monetary and fiscal policy shocks on U.S. inequality : the role of uncertainty (Springer, 2019-01)The study examines the effect of monetary and fiscal policy on inequality conditioned on low and high uncertainty. We use U.S. quarterly time series data on different measures of income, labour earnings, consumption and ...
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(Springer, 2015-08)This paper analyses the impact of uncertainty about the true state of the economy on monetary policy in South Africa since the adoption of inflation targeting. The paper uses an extended monetary policy rule that allows ...
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(Routledge, 2022)Based on a large panel dataset of small commercial banks in the United States, this paper employs a dynamic panel Tobit model to analyse the role of uncertainty in forecasting charge-off rates on loans for credit card (CC) ...
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(Elsevier, 2021-10)We examine the forecasting power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for gold market returns volatility via the heterogeneous autoregressive realized variance (HAR-RV) ...
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(MDPI, 2021-07-10)We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and ...
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Frequency-dependent real-time effects of uncertainty in the United States : evidence from daily data (Routledge, 2020)In this paper, we analyse the impact of uncertainty shocks at the daily-frequency on key macroeconomic variables for the United States. In doing so, we use a vector autoregressive (VAR) model, including the inflation rate, ...
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(World Scientific Publishing, 2020-12)Uncertainty is known to have negative impact on financial markets through its effects on investors’ decisions. In the wake of the “Great Recession”, quite a few recent studies have highlighted the role of uncertainty in ...
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(Elsevier, 2018-12)We analyze the impact of macroeconomic news surprises for Canada, the Euro area, Japan, the UK, and the US relating to returns and volatility for West Texas Intermediate and Brent crude oil futures. We look at futures ...
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(Elsevier, 2020-09)Using local projection methods, this paper employs monthly panel data from 1989 to 2017 to examine both linear and nonlinear impulse responses of macroeconomic uncertainty to structural shocks to global oil production, ...
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(MDPI, 2020-08)We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) ...
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(University of Johannesburg, 2007-04)A stylised fact of monetary policymaking is that central banks do not immediately respond to new information but seem instead to prefer to wait until sufficient ‘evidence’ to warrant a change has accumulated. However, ...
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(Camera di Commercio, Industria, Artigianato e, 2015)The macroeconomic response to uncertainty for India is studied in a structural model that decomposes uncertainty into negative and positive contributions. The results show that uncertainty shocks reduce industrial ...
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(Routledge, 2018)In this article, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county-level examination. In performing a series of linear and nonlinear ...
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(Wiley, 2022-04)Japan's episodes of lower bound of interest rates together with macroeconomic uncertainty for over the past two decades stands as a tremendous hurdle for the estimation of Taylor-type rule models. We demarcate our study ...
Now showing items 1-20 of 34