Forecasting European economic policy uncertainty

被引:15
作者
Degiannakis, Stavros [1 ,2 ]
Filis, George [3 ]
机构
[1] Pante Univ Social & Polit Sci, Athens, Greece
[2] Hellen Open Univ, Patras, Greece
[3] Bournemouth Univ, Poole, Dorset, England
关键词
STOCK; VOLATILITY; DEPENDENCE; MARKETS; SHOCKS; IMPACT; MODEL; US;
D O I
10.1111/sjpe.12174
中图分类号
F [经济];
学科分类号
02 ;
摘要
Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. 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. The results show that the global economic policy uncertainty provides the highest predictive gains, followed by the European and US stock market realized volatilities. In addition, the European stock market implied volatility index is shown to be an important predictor of the economic policy uncertainty.
引用
收藏
页码:94 / 114
页数:21
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