Forecasting European Economic Policy Uncertainty.

Degiannakis, S. and Filis, G., 2018. Forecasting European Economic Policy Uncertainty. Scottish Journal of Political Economy. (In Press)

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Abstract

Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going 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.

Item Type:Article
ISSN:0036-9292
Uncontrolled Keywords:Economic policy uncertainty; forecasting; financialmarkets; commodities markets, HAR, ultra-high frequency information.
Group:Faculty of Management
ID Code:30457
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:08 Mar 2018 16:35
Last Modified:08 Mar 2018 16:53

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