The Experts below are selected from a list of 291 Experts worldwide ranked by ideXlab platform

Libo Yin - One of the best experts on this subject based on the ideXlab platform.

  • asymmetric volatility spillovers between International Economic Policy uncertainty and the u s stock market
    The North American Journal of Economics and Finance, 2020
    Co-Authors: Ziwei Wang, Libo Yin
    Abstract:

    Abstract This paper studies the asymmetric spillover effect of important Economic Policy uncertainty (EPU) on the S&P500 index. We use monthly EPU indexes from Australia, Canada, China, Japan, the U.K. and the U.S. and the realized volatility of the U.S. stock market to study the asymmetric pairwise directional spillovers on the U.S. stock market from 2000 to 2019. We find that S&P500 index volatility is a net recipient of spillovers from important EPU indexes. Japanese EPU has the strongest spillover effect on the U.S. stock markets, while EPU from the U.K. plays a very limited role. By decomposing the volatility into good and bad volatility, we find that the relationship between bad stock market volatility and EPU is stronger than between good volatility and EPU. Time-varying spillover characteristics show that bad volatility reacts more strongly to shocks in EPU following the debt crisis and trade negotiations. Several robustness checks are provided to verify the novelty of these findings.

Cora Signorotto - One of the best experts on this subject based on the ideXlab platform.

  • mind what your voters read media exposure and International Economic Policy making
    2014
    Co-Authors: Giovanni Facchini, Tommaso Frattini, Cora Signorotto
    Abstract:

    We investigate how media exposure affects elected representatives’ response to preferences on immigration and trade Policy. Using a novel dataset spanning the period 1986-2004, in which we match individual opinion surveys with congressmen roll call votes, we find that greater exposure to media coverage tends to increase a politician’s accountability when it comes to migration Policy making, while we find no effect for trade Policy. Our results thus suggest that more information on the behavior of elected officials affects decisions only when the Policy issue is perceived to be salient by the electorate. JEL classication : F22, J61.

  • mind what your voters read media exposure and International Economic Policy making
    2013
    Co-Authors: Giovanni Facchini, Tommaso Frattini, Cora Signorotto
    Abstract:

    We investigate how media exposure affects elected representatives' response to preferences on immigration and trade Policy. Using a novel dataset spanning the period 1986-2004, in which we match individual opinion surveys with congressmen roll call votes, we find that greater exposure to media coverage tends to increase a politician's accountability when it comes to migration Policy making, while we find no effect for trade Policy. Our results thus suggest that more information on the behavior of elected officials affects decisions only when the Policy issue is perceived to be salient by the electorate.

Debojyoti Das - One of the best experts on this subject based on the ideXlab platform.

  • do asian emerging stock markets react to International Economic Policy uncertainty and geopolitical risk alike a quantile regression approach
    Finance Research Letters, 2020
    Co-Authors: M Kannadhasan, Debojyoti Das
    Abstract:

    Abstract We compare and contrast the impact of Economic Policy Uncertainty (EPU) and Geopolitical Risk (GPR) related shocks on the Asian emerging stock markets by resorting to the quantile regression approach. We find that: (a) EPU holds a consistent negative relationship across all quantiles, whereas GPR is negatively related in the lower quantiles and positively related in the intermediate and upper quantiles, (b) negative impact of EPU is stronger than the negative impact of GPR and (c) the dependence of stock returns with EPU and GPR is asymmetric. We believe our findings adds a new dimension to the existing literature and also important to the market participants for portfolio allocation in the emerging markets.

  • do the emerging stock markets react to International Economic Policy uncertainty geopolitical risk and financial stress alike
    The North American Journal of Economics and Finance, 2019
    Co-Authors: Debojyoti Das, M Kannadhasan, Malay Bhattacharyya
    Abstract:

    Abstract We examine the effects of International (US based) Economic Policy uncertainty, geopolitical risk and financial stress alike on the emerging stock markets. We consider 24 emerging markets to understand the receptivity of these markets to the various US based macroEconomic shocks. We use monthly data ranging from January 1997 to May 2018 and use the nonparametric causality-in-quantiles test as the methodological approach. We find that: (a) the impact of these shocks is heterogeneous across the markets in terms of causality and intensity. (b) the influence of EPU is mostly profound and significant as compared to other two shock indicators i.e. GPR and FS. (c) the causality-in-mean is more significant and stronger rather than the causality-in-variance. Lastly, (d) the predictability of EPU, GPR and FS is restricted in extreme upper tails. We believe these findings are relevant to the investors in EMs for the purpose of International portfolio diversification and developing investment strategies at times of turbulent Economic conditions.

  • International Economic Policy uncertainty and stock prices revisited multiple and partial wavelet approach
    Economics Letters, 2018
    Co-Authors: Debojyoti Das, Surya Bhushan Kumar
    Abstract:

    Abstract This paper introduces a new dimension to the relationship between Economic Policy Uncertainty (EPU) and Stock Prices (SP) by extending the contributions of Ko and Lee (2015) by using multiple and partial wavelet coherence techniques. The vulnerability of SP due to combined and isolated impact of International (US EPU) and Domestic Policy Uncertainty (DEPU) is investigated. The main findings are; (a) the combined effect of DEPU and US EPU is more significant for developed market’s SP, (b) the emerging market’s SP are more sensitive to DEPU and (c) Amongst developed markets, Japan and European countries are more sensitive to US EPU than DEPU.

Ziwei Wang - One of the best experts on this subject based on the ideXlab platform.

  • asymmetric volatility spillovers between International Economic Policy uncertainty and the u s stock market
    The North American Journal of Economics and Finance, 2020
    Co-Authors: Ziwei Wang, Libo Yin
    Abstract:

    Abstract This paper studies the asymmetric spillover effect of important Economic Policy uncertainty (EPU) on the S&P500 index. We use monthly EPU indexes from Australia, Canada, China, Japan, the U.K. and the U.S. and the realized volatility of the U.S. stock market to study the asymmetric pairwise directional spillovers on the U.S. stock market from 2000 to 2019. We find that S&P500 index volatility is a net recipient of spillovers from important EPU indexes. Japanese EPU has the strongest spillover effect on the U.S. stock markets, while EPU from the U.K. plays a very limited role. By decomposing the volatility into good and bad volatility, we find that the relationship between bad stock market volatility and EPU is stronger than between good volatility and EPU. Time-varying spillover characteristics show that bad volatility reacts more strongly to shocks in EPU following the debt crisis and trade negotiations. Several robustness checks are provided to verify the novelty of these findings.

Hyung-gon Jeong - One of the best experts on this subject based on the ideXlab platform.