scholarly journals The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil

PLoS ONE ◽  
2018 ◽  
Vol 13 (2) ◽  
pp. e0192305 ◽  
Author(s):  
Honghai Yu ◽  
Libing Fang ◽  
Boyang Sun
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Stock Returns ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Industry Level ◽  
Long Run

Geopolitical risk, economic growth, economic uncertainty and international inbound tourism: an Indian Illustration

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sudeshna Ghosh
Keyword(s):  
Economic Growth ◽  
Economic Policy ◽  
Trade Openness ◽  
Policy Uncertainty ◽  
Tourism Demand ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Long Run ◽  
Geopolitical Risks

Purpose This paper aims to consider the role of geopolitical risk in explaining tourism demand in India, a major tourist destination of the Asian region. Furthermore, the study also considers how in addition to geopolitical risk, economic policy uncertainty, economic growth, exchange rate, inflation and trade openness impact tourism demand. Design/methodology/approach The Bayer and Hanck (2013) method of cointegration is applied to explore the relationship between geopolitical risk and tourism demand. Furthermore, the study has also used the auto distributed lag model to determine whether there is a long-run cointegrating association between tourism demand, geopolitical risk, economic policy uncertainty, economic growth, exchange rate and trade openness. Finally, the vector error correction model confirms the direction of causality across the set of the major variables. Findings This paper finds that geopolitical risk adversely impacts inbound international travel to India. This study also obtains the consistency of the results across different estimation techniques controlling for important macro variables. The Granger causality test confirms the unidirectional causality from geopolitical risk to tourism and further from economic uncertainty to tourism. The findings from the study confirm that geopolitical risks have long-term repercussions on the tourism sector in India. The results indicate that there is an urgent need to develop a pre-crisis management plan to protect the aura of Indian tourism. The tourism business houses should develop skilful marketing strategies in the post-crisis to boost the confidence of the tourists. Research limitations/implications This paper provides valuable practical implications to tourism business houses. The tourism business houses can explore geopolitical risk measure and economic policy uncertainty measure to analyse the demand for international tourism in India. Further, the major stakeholders can establish platforms to help tourists to overcome the fear associated with geopolitical risk. Originality/value This study is the first of its kind to explore the geopolitical risks and their long-run consequences in the context of tourism in India. The study puts emphasis on the role of national policy to maintain peace otherwise it would be detrimental to tourism.

The Nexus Between Economic Policy Uncertainty and Stock Returns of Tourism Companies: Evidence from Turkey

2020 ◽  
Vol 23 (3) ◽  
pp. 87-98
Author(s):  
Alper Aslan ◽  
Buket Altinöz
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Policy Uncertainty ◽  
Causality Test ◽  
Economic Policy Uncertainty ◽  
European Economic ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Long Run ◽  
Demand Models

This article aims to analyze the nexus between economic policy uncertainty (EPU) and stock returns of tourism companies for Turkey by using the Autoregressive Distributed Lag (ARDL) boundary test for data from 1997 to 2017. The analysis results illustrate that an increase in the global and European economic policy uncertainty index affects negatively to Borsa Istanbul (BIST) tourism index in Turkey in both the short and long run. In addition, global economic policy uncertainty has a greater impact on stock returns of tourism companies in the long run than European economic policy uncertainty. The causality test results support this statement and illustrate a unidirectional causality from global economic policy uncertainty to BIST Tourism Index (XTRZM). These findings proved that Turkey is not only for Europe but also a tourism center, globally. Analysis results implied that especially global economic policy uncertainty is a factor that should be taken into account to explain tourism stock returns. This article proposes that it will be useful to use the EPU index, especially global EPU, as a determinant of tourism stock returns. This result takes the existing theoretical infrastructure one step further than traditional tourism demand models.

scholarly journals The Role of Economic Uncertainty in UK Stock Returns

2019 ◽  
Vol 12 (1) ◽  
pp. 5 ◽  
Author(s):  
Jun Gao ◽  
Sheng Zhu ◽  
Niall O’Sullivan ◽  
Meadhbh Sherman
Keyword(s):  
Economic Policy ◽  
Stock Returns ◽  
Economic Activity ◽  
Policy Uncertainty ◽  
Economic Uncertainty ◽  
Economic Policy Uncertainty ◽  
Macroeconomic Uncertainty ◽  
Uncertainty Indices ◽  
The Uk

We investigated the role of domestic and international economic uncertainty in the cross-sectional pricing of UK stocks. We considered a broad range of financial market variables in measuring financial conditions to obtain a better estimate of macroeconomic uncertainty compared to previous literature. In contrast to many earlier studies using conventional principal component analysis to estimate economic uncertainty, we constructed new economic activity and inflation uncertainty indices for the UK using a time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model. We then estimated stock sensitivity to a range of macroeconomic uncertainty indices and economic policy uncertainty indices. The evidence suggests that economic activity uncertainty and UK economic policy uncertainty have power in explaining the cross-section of UK stock returns, while UK inflation, EU economic policy and US economic policy uncertainty factors are not priced in stock returns for the UK.

scholarly journals Is Financial Innovation Bestowed or a Curse for Economic Sustainably: The Mediating Role of Economic Policy Uncertainty

2021 ◽  
Vol 13 (4) ◽  
pp. 2391
Author(s):  
Shuhua Xu ◽  
Md. Qamruzzaman ◽  
Anass Hamadelneel Adow
Keyword(s):  
Economic Growth ◽  
Economic Policy ◽  
Financial Innovation ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Mediating Role ◽  
Asymmetric Shocks ◽  
Long Run ◽  
Short Run

The study’s motivation is to gauge the impact of financial innovation on economic growth from 2004M1 to 2018M12 in India and Pakistan’s economy with the mediating role of economic policy uncertainty. For instituting the possible association between financial innovations, economic policy uncertainty, and economic growth study considered both symmetric and asymmetric frameworks following autoregressive distributed lagged (ARDL) and nonlinear ARDL (NARDL). Furthermore, asymmetric causal relationships were evaluated by performing non-granger causality tests with asymmetric shocks of financial innovation and economic policy uncertainty (EPU). The results of Fpss, Wpss, and tBDM under symmetry framework established the long-run link between EPU, financial innovation, and economic growth in both countries. The results of standard Wald tests demonstrated the asymmetry effects furring from EPU to economic growth and financial innovation to economic growth both in the long-run and short-run. The asymmetry effects of positive and negative shocks in financial innovation revealed a positive linkage with economic growth and a negative tie between asymmetric shocks in EPU and economic growth in the long-run, but short-run magnitudes negligible. Refers to directional causality estimation, the study revealed evidence supporting the feedback hypothesis between EPU and financial innovation in all sample countries.

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