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Forecasting economic policy uncertainty.

Degiannakis, S. and Filis, G., 2017. Forecasting economic policy uncertainty. In: EEFS 2017: The 16th Annual European Economics and Finance Society Conference, 22--25 June 2017, University of Ljubljana, Ljubljana.

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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:Conference or Workshop Item (Paper)
Additional Information:Conference programme: http://www.eefs-eu.org/eefs-conference-in-ljubljana-june-2017.html
Uncontrolled Keywords:Economic policy uncertainty; forecasting; financial markets; commodities markets; HAR; ultra-high frequency information
Group:Faculty of Management
ID Code:34556
Deposited By: Unnamed user with email symplectic@symplectic
Deposited On:17 Sep 2020 08:25
Last Modified:17 Sep 2020 08:25

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