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Howard Kung - One of the best experts on this subject based on the ideXlab platform.
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the asset redeployability channel how Uncertainty affects corporate investment
Review of Financial Studies, 2017Co-Authors: Hyunseob Kim, Howard KungAbstract:This paper examines how Uncertainty affects corporate investment under varying degrees of asset redeployability. We develop new measures of asset redeployability by accounting for the usability of assets within and across industries. We identify plausibly exogenous shocks to Economic Uncertainty by using major Economic and political events. We find that after an increase in Uncertainty, firms using less redeployable capital reduce investment more. More redeployable assets exhibit higher recovery rates and are traded more actively in secondary markets. Overall, our results suggest that frictions in redeploying assets affect liquidation values and therefore make firms cautious about investment decisions under Uncertainty.
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the asset redeployability channel how Uncertainty affects corporate investment
Social Science Research Network, 2016Co-Authors: Hyunseob Kim, Howard KungAbstract:This paper examines how Uncertainty affects corporate investment under varying degrees of asset redeployability. We develop new measures of asset redeployability by accounting for the usability of assets within and across industries. We identify plausibly exogenous shocks to Economic Uncertainty by using major Economic and political events. We find that after an increase in Uncertainty, firms using less redeployable capital reduce investment more. More redeployable assets exhibit higher recovery rates and are traded more actively in secondary markets. Overall, our results suggest that frictions in redeploying assets significantly affect liquidation values and therefore make firms cautious about investment decisions.
Rangan Gupta - One of the best experts on this subject based on the ideXlab platform.
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does global Economic Uncertainty matter for the volatility and hedging effectiveness of bitcoin
International Review of Financial Analysis, 2019Co-Authors: Libing Fang, Rangan Gupta, Elie Bouri, David RoubaudAbstract:Abstract We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global Economic policy Uncertainty. Empirical results provide evidence supporting this hypothesis, except in the case of bonds. For Bitcoin investors, the results imply the ability to use information about the state of global Economic Uncertainty to enhance the predictions of Bitcoin volatility. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global Economic policy Uncertainty. Empirical results reveal that global Economic policy Uncertainty has a negative significant impact on the Bitcoin-bonds correlation and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting the possibility of Bitcoin acting as a hedge under specific Economic Uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global Economic policy Uncertainty. Such a weak effect of the state of global Economic Uncertainty on the hedging ability of Bitcoin implies that investors cannot substantially enhance the hedging performance of Bitcoin under different Economic Uncertainty conditions.
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the role of Economic Uncertainty in forecasting exchange rate returns and realized volatility evidence from quantile predictive regressions
Journal of Forecasting, 2018Co-Authors: Christina Christou, Rangan Gupta, Christis Hassapis, Tahir SulemanAbstract:In this paper, we investigate whether the news‐based measure of Economic policy Uncertainty (EPU) can be used to forecast exchange rate returns and volatility using a quantile regression approach, which accounts for persistence and endogeneity, using data from 13 different countries. Our main findings suggest that: (i) EPU is useful for forecasting exchange rate returns and volatility, (ii) forecasting ability–quantile order relationships exhibit a U‐shape, possibly asymmetric form around the median; and (iii) asymmetries are more pronounced in the case of forecasting volatility.
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does global Economic Uncertainty matter for the volatility and hedging effectiveness of bitcoin
Research Papers in Economics, 2018Co-Authors: Libing Fang, Rangan Gupta, Elie Bouri, David RoubaudAbstract:We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global Economic policy Uncertainty. Empirical results provide evidence supporting that, except for the case of bonds. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global Economic policy Uncertainty and the results reveal that global Economic policy Uncertainty has a negative significant impact on the Bitcoin-bonds correlation, and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting a possibility for Bitcoin to act as a hedge under specific Economic Uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global Economic policy Uncertainty. Implications for investors and policy-makers are discussed.
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Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach
Economics Letters, 2018Co-Authors: Nikolaos Antonakakis, David Gabauer, Rangan Gupta, Vasilios PlakandarasAbstract:Economic Uncertainty has attracted a significant part of the modern research in Economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of Uncertainty between economies, examining potential spillover effect between the U.S., the E.U., the U.K, Japan and Canada. Within a time-varying framework our empirical results indicate of a significant spillover of Uncertainty from the E.U. to the U.S.
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dynamic connectedness of Uncertainty across developed economies a time varying approach
Economics Letters, 2018Co-Authors: David Gabauer, Rangan Gupta, Nikolaos Antonakakis, Vasilios PlakandarasAbstract:Abstract Economic Uncertainty has attracted a significant part of the modern research in Economics, proving to be a significant factor for every economy. In this study, we focus on the transmission channel of Uncertainty between developed economies, examining potential spillover effects between the U.S., the E.U., the U.K, Japan and Canada. Within a time-varying framework our empirical results indicate of a significant spillover of Uncertainty from the E.U. to the U.S.
Athanasios Triantafyllou - One of the best experts on this subject based on the ideXlab platform.
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commodity price volatility and the Economic Uncertainty of pandemics
Economics Letters, 2020Co-Authors: Dimitrios Bakas, Athanasios TriantafyllouAbstract:We empirically investigate the impact of Economic Uncertainty related to global pandemics on the volatility of the broad commodity price index as well as on the sub-indexes of crude oil and gold. The results show that Uncertainty related to pandemics have a strong negative impact on the volatility of commodity markets and especially on crude oil market, while the effect on gold market is positive but less significant.
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commodity price volatility and the Economic Uncertainty of pandemics
Social Science Research Network, 2020Co-Authors: Dimitrios Bakas, Athanasios TriantafyllouAbstract:In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific,we explore the impact of Economic Uncertainty related to global pandemics on the volatility of the S&P GSCI commodity index as well as on the sub-indexes of crude oil and gold. The results show that Uncertainty related to pandemics have a strong negative impact on the volatility of commodity markets and especially on crude oil market, while the effect on gold market is positive but less significant. Our findings remain robust to a series of robustness checks.
Torra Porras Salvador - One of the best experts on this subject based on the ideXlab platform.
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A geometric approach to proxy Economic Uncertainty by a metric of disagreement among qualitative expectations
Universitat de Barcelona. Facultat d'Economia i Empresa, 2018Co-Authors: Clavería González Óscar, Monte Moreno Enric, Torra Porras SalvadorAbstract:In this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. ..
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A geometric approach to proxy Economic Uncertainty by a metric of disagreement among qualitative expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:Working paperIn this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement.Preprin
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A geometric approach to proxy Economic Uncertainty by a metric of disagreement among qualitative expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:Working paperIn this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement
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A geometric proxy of Economic Uncertainty based on the disagreement in survey expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:In this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty measures derived from business and consumer surveys exclusively make use of the two extreme pieces of information: the percentage of respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a metric of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement.Peer Reviewe
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A geometric proxy of Economic Uncertainty based on the disagreement in survey expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:In this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty measures derived from business and consumer surveys exclusively make use of the two extreme pieces of information: the percentage of respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a metric of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement.Peer ReviewedPostprint (published version
Clavería González Óscar - One of the best experts on this subject based on the ideXlab platform.
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Measuring and assessing Economic Uncertainty
Universitat de Barcelona. Facultat d'Economia i Empresa, 2020Co-Authors: Clavería González ÓscarAbstract:This paper evaluates the dynamic response of Economic activity to shocks in agents’ perception of Uncertainty. The study focuses on the comparison between manufacturers 'and consumers' perception of Economic Uncertainty. Since Uncertainty is not directly observable, we approximate it using the geometric discrepancy indicator of Claveria et al. (2019). This approach allows us quantifying the proportion of disagreement in business and consumer expectations of eleven European countries and the Euro Area. First, we compute three independent indices of discrepancy corresponding to three dimensions of Uncertainty (Economic, inflation and employment) and we average them to obtain aggregate disagreement measures for businesses and for consumers (…
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A geometric approach to proxy Economic Uncertainty by a metric of disagreement among qualitative expectations
Universitat de Barcelona. Facultat d'Economia i Empresa, 2018Co-Authors: Clavería González Óscar, Monte Moreno Enric, Torra Porras SalvadorAbstract:In this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. ..
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A geometric approach to proxy Economic Uncertainty by a metric of disagreement among qualitative expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:Working paperIn this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement.Preprin
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A geometric approach to proxy Economic Uncertainty by a metric of disagreement among qualitative expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:Working paperIn this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty indicators derived from business and consumer surveys exclusively make use of the two extreme pieces of information coming from the respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a measure of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement
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A geometric proxy of Economic Uncertainty based on the disagreement in survey expectations
2018Co-Authors: Clavería González Óscar, Monte Moreno Enrique, Torra Porras SalvadorAbstract:In this study we present a geometric approach to proxy Economic Uncertainty. We design a positional indicator of disagreement among survey-based agents' expectations about the state of the economy. Previous dispersion-based Uncertainty measures derived from business and consumer surveys exclusively make use of the two extreme pieces of information: the percentage of respondents expecting a variable to rise and to fall. With the aim of also incorporating the information coming from the share of respondents expecting a variable to remain constant, we propose a geometrical framework and use a barycentric coordinate system to generate a metric of disagreement, referred to as a discrepancy indicator. We assess its performance, both empirically and experimentally, by comparing it to the standard deviation of the share of positive and negative responses, which has been used by Bachman et al. (2013) as a proxy for Economic Uncertainty. When applied in sixteen European countries, we find that both time-varying metrics co-evolve in most countries for expectations about the country's overall Economic situation in the present, but not in the future. Additionally, we obtain their simulated sampling distributions and we find that the proposed indicator gravitates uniformly towards the three vertices of the simplex representing the three answering categories, as opposed to the standard deviation, which tends to overestimate the level of Uncertainty as a result of ignoring the no-change responses. Consequently, we find evidence that the information coming from agents expecting a variable to remain constant has an effect on the measurement of disagreement.Peer Reviewe
