Put differently, German newspapers writing about Brexit and associated economic uncertainty in the UK is counted towards an increasing EPU in Germany and Findings. Economic policy uncertainty (EPU) of U.S., China, and several developed European economies. Economic policy uncertainty (EPU) of U.S., China, and several developed European economies. 2Postgraduate Department of Business Administration, Hellenic Open University, Aristotelous 18, 26 335, Greece. Economic policy uncertainty 4 | January 23, 2018 EU Monitor recently. Economic policy uncertainty (EPU) has recently gained increasing attention as a driving force of the business cycle. Use the link below to share a full-text version of this article with your friends and colleagues. … The full text of this article hosted at iucr.org is unavailable due to technical difficulties. The results show that the global economic policy uncertainty provides the highest predictive gains, followed by the European and US stock market realized volatilities. Special Issue: “Financial Econometrics and Empirical Modelling of Financial Markets”. A popular metric of economic policy uncertainty is based on the number of newspaper articles containing the words “uncertainty” or “uncertain” and “economics” or “economy” and policy 1 The EPU index counts the frequency of country newspaper articles that include terms related to economy, policy, and uncertainty. Learn about our remote access options, Panteion University of Social and Political Sciences. The analysis also considers the momentum effect, stock market returns volatility and equity pricing inefficiencies across markets, which, to the best of the authors’ knowledge, has not been addressed in the literature. These policy interventions contributed to avoiding an even deeper recession and long-lasting economic scars on the European economy. First, we are able to distinguish between a group of fragile countries (GIIPS countries) and a group of stable countries (northern countries), where the former suffered the most due to EPU shocks. Other shocks that boosted uncertainty, such as the 9/11 attacks or the collapse of Lehman Brothers, typically were one-off events with a traumatic initial impact that quickly faded. Learn more. Enter your email address below and we will send you your username, If the address matches an existing account you will receive an email with instructions to retrieve your username, By continuing to browse this site, you agree to its use of cookies as described in our, I have read and accept the Wiley Online Library Terms and Conditions of Use. Any queries (other than missing content) should be directed to the corresponding author for the article. We study the relationship between economic policy uncertainty and systemic risk for nine European countries in January 2010–September 2016 by applying conventional Granger causality tests and advanced techniques (wavelet analysis and Bayesian VARs). For the European-wide EPU index, we average equally across all 10 European newspapers. The coronavirus pandemic represents a very large shock for the global and EU economies, with very severe economic and social consequences. As with our American newspaper index, we count the number of newspaper articles containing the terms uncertain or uncertainty, economic or economy, and one or more policy-relevant terms. Recent research provides a framework to identify the impacts of policy uncertainty on firm decisions, and finds it has strong effects in the context of international trade. This is driven by the fact that some online newspapers do not immediately update their online archives with all articles, leading to slightly changing totals for the previous 1-2 months. For the current month, the index reflects data for the Times of London though the end of the month and for the Financial Times through approximately the 16th of the month. For the EU economies, we estimate that without the policy actions and the strong EU support, economic activity might have been an additional 3-4 percentage points of GDP lower in 2020. The concept of economic policy uncertainty is somewhat different from the more standard uncertainty concepts presented above, as it is more difficult to quantify. to quantify. A growing body of literature finds that rising business uncertainty can have a profound dampening effect on economic activity. Download Data Annotated Chart. In addition, the European stock market implied volatility index is shown to be an important predictor of the economic policy uncertainty. We conduct all searches in the native language of the newspaper in question. Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going sovereign debt crisis. Downloadable! 2013; Comolli 2017). Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going sovereign debt crisis. Last update September 10, 2020. China’s WTO accession secured its most-favoured nation status We draw on two newspapers per country for the European indexes: Le Monde and Le Figaro for France, Handelsblatt and Frankfurter Allgemeine Zeitung for Germany, Corriere Della Sera and La Stampa for Italy, El Mundo and El Pais for Spain, and The Times of London and Financial Times for the United Kingdom. We scale the raw EPU count by a measure of the number of articles in the same newspaper and month. European economic policy uncertainty (EPU) index as well as tick‐by‐tick front‐month futures contracts data of two major European stock market indices (FTSE100 and Eurostoxx 50) and two major currencies (GBP/USD and EUR/USD). Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going debt crisis and the Brexit vote. Induced Uncertainty on Monetary Policy, Study for the Committee on Eco nomic and Monetary Affairs , Policy Department for Economic, Scientific and Quality of Life Policies, European Parliament, Luxembourg, 2020. Graph and download economic data for Economic Policy Uncertainty Index for Europe (EUEPUINDXM) from Jan 1987 to Mar 2021 about uncertainty, Spain, Italy, academic data, France, Germany, United Kingdom, Europe, and indexes. This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). Economic Policy Uncertainty Index: Categorical Index: Fiscal Policy (Taxes OR Spending) Index, Monthly, Not Seasonally Adjusted Jan 1985 to Feb 2021 (2 days ago) Economic Policy Uncertainty Index for Europe Recent events, such as the financial and sovereign debt crisis in Europe, have triggered uncertainty about a possible bailout of Greece, continuity of the Eurozone and the capacity of policy makers to solve the crisis in general. We standardize each newspaper-level monthly series to unit standard deviation prior to 2011 and average across newspapers by month to obtain country-level and European EPU indexes, which we normalize to a mean of 100 prior to 2011. We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven European Monetary Union (EMU) countries. To measure European policy-related economic uncertainty, we construct an index based on newspaper articles regarding policy uncertainty. 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. Based on the analyses of monthly returns on the major stock market indices in these countries from 1993:2 to 2012:4, the results show that the changes in economic policy uncertainty in Europe negatively affect all stock market returns in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine, and the effect is statistically significant for all countries except … Abstract. This innovative technique allows the decomposition of … The WUI was developed by … Economic Policy Uncertainty in Europe after WWI. Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Empirical studies that simultaneously include several indicators of economic conjuncture – such as the unemployment rate, the economic policy uncertainty index, the cost of public debt, and the consumer confidence index – do not explain all the decline in birth rates in Europe and the US in the period 2008-2013 (e.g., Goldstein et al. The impact of policy uncertainty on economic activity is potentially important, but controversial because it is hard to identify and quantify. Since its introduction by Baker et al. 1 Forecasting European Economic Policy Uncertainty Stavros Degiannakis1,2 and George Filis3,* 1Department of Economics and Regional Development, Panteion University of Social and Political Sciences, 136 Syggrou Avenue, 17671, Greece. We use a time-varying parameter FAVAR model to investigate the effects of economic policy uncertainty (EPU) on a wide range of macroeconomic variables for eleven European Monetary Union (EMU) countries. We construct these country-level indexes in the same manner as our EPU index based on American newspapers. Economic policy uncertainty (EPU) has recently gained increasing attention as a driving force of the business cycle. Brexit offers an unusually compelling opportunity to test this idea. Economic Policy Uncertainty Index for Europe Index, Monthly, Not Seasonally Adjusted Jan 1987 to Mar 2021 (2 days ago) Economic Policy Uncertainty Index: Categorical Index: Trade policy Economic policy uncertainty is caused when investors, consumers and policymakers aren't able to expect changes affecting their decision making in trade, stock markets and in the economy. The war destroyed property and killed large numbers of soldiers and civilians. This innovative technique allows the decomposition of time-series at different time frequencies. Policy uncertainty (also called regime uncertainty) is a class of economic risk where the future path of government policy is uncertain, raising risk premia and leading businesses and individuals to delay spending and investment until this uncertainty has been resolved. relative to economic uncertainty, policy uncertainty is of particular interest because it can be moderated, if not altogether avoided, by governments. We construct these country-level indexes in the same manner as our EPU index based on American newspapers. The economic effects of trade policy uncertainty associated with changes in … 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. Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. The Business and Consumer Surveys (BCS) administered by the European Commission The most popular version is the Economic Policy (56) Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. For country-level indexes, we average across each country's two newspapers. economic policy uncertainty indexes are based on newspaper articles related to policy uncertainty; specifically, by counting the number of newspaper articles the words “uncertain” or that include “uncertainty” , policy-significant terms, and “econ omic” or “economy” . If you do not receive an email within 10 minutes, your email address may not be registered, Economic Policy Uncertainty in Europe after WWI WWI has been described as a watershed moment in European economic history. Forecasting the economic policy uncertainty in Europe is of huge importance given the on-going debt crisis and the Brexit vote. For the European EPU index, BBD weights EU countries equally and does not distinguish between local and international policy uncertainty. Recent events such as the financial and sovereign debt crisis have triggered an increase in European Economic Policy Uncertainty (EPU). To measure European policy-related economic uncertainty, we construct an index based on newspaper articles regarding policy uncertainty. This study empirically examines the fragility of five major Asian economies (China, Hong Kong, India, Japan, and South Korea) to economic policy uncertainty (EPU) of US and EU, and oil prices in different state of the economies. This article aims to examine the link between European economic policy uncertainty (EPU) and tourism activities in Portugal, Ireland, Italy, Greece, and Spain using wavelet transform context structures. Policy uncertainty – the uncertainty regarding future policies implemented by governments – has suddenly become a major impediment to globalisation. Economic policy uncertainty is caused when investors, consumers and policymakers aren't able to expect changes affecting their decision making in trade, stock markets and in the economy. WWI has been described as a watershed moment in European economic history. By contrast, Brexit has brought about an unusually persistent jump in u… Old imperial powers were dissolved, and new nation states were formed. 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 war destroyed property and killed large numbers of soldiers and civilians. and you may need to create a new Wiley Online Library account. After a relatively short period, uncertainty levels returned nearly to normal. Old imperial powers were dissolved, and new nation states were formed. However, the resurgence of the pandemic […] It affects firms' decisions related to significant sunk costs. The country-level analyses show that the lead-lag patterns vary considerably in the short and longer run as well as at different frequencies. Economic policy uncertainty is defined as the agents’ inability to foresee For example, estimates for trade are based on studies that measured UK exports to the EU and the rest of the world to be about 13 per cent lower compared to a hypothetical world in which the UK voted to stay in the EU. Economic policy uncertainty (EPU) documents the ambiguity regarding who will make economic policy decisions, and what and when economic policy actions will be … The choice to employ firms’ trade exposure as the central margin of variation reflects recent findings in the literature. This article aims to examine the link between European economic policy uncertainty (EPU) and tourism activities in Portugal, Ireland, Italy, Greece, and Spain using wavelet transform context structures. Note The most recent value of the EPU Index for the United Kingdom is especially subject to revision in the following month. A Language-Independent Measurement of Economic Policy Uncertainty in Eastern European Countries Alexander Kupfer and Josef Zorn Department of Banking and Finance, University of Innsbruck, Innsbruck, Austria ABSTRACT: This article proposes a novel way to construct an index for economic policy uncertainty that does not depend on language proficiency. We use a time-varying parameter FAVAR model to investigate the effects of economic policy uncertainty (EPU) on a wide range of macroeconomic variables … Economic policy uncertainty is defined as the agents’ inability to foresee outcomes for fiscal, regulatory, monetary and trade policies. Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. Working off-campus? Their approach is laid out in the research note "The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium", available here. An older vintage of the index, including data from Consensus Economics through March 2014, can be found here: Old European Data. With each monthly update, data from the preceding two months may be revised slightly, as well. Recent events, such as the financial and sovereign debt crisis in Europe, have triggered uncertainty about a possible bailout of Greece, continuity of the Eurozone and the capacity of policy makers to solve the crisis in general. An example of such a decision is foreign direct investment (FDI). Economic policy uncertainty (EPU) has increased markedly in recent years in the U.S. and Europe, and some have posited a link between this phenomenon and subpar economic growth in advanced economies (see Baker, Bloom, and Davis, 2015). The concept of economic policy uncertainty has gained particular importance in recent years. Economic activity in Europe suffered a severe shock in the first half of the year and rebounded strongly in the third quarter as containment measures were gradually lifted. We use a TVP-FAVAR model with hierarchical priors on the hyperparameters to investigate the effect of EPU on a wide range of macroeconomic variables for eleven European Monetary Union (EMU) countries. 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. This section assesses the impact of uncertainty on real economic developments in the euro area using data for individual Member States, including new country-level indicators of uncertainty. We study the relationship between economic policy uncertainty and systemic risk for nine European countries in January 2010–September 2016 by applying conventional Granger causality tests and advanced techniques (wavelet analysis and Bayesian VARs). We are pleased to host three new EPU indices for Belgium developed by Samuel Borms, Kris Boudt, Jeroen Van Pelt, and Andres Algaba. Please check your email for instructions on resetting your password. (2016), Economic Policy Uncertainty (EPU) has been used as a major proxy for uncertainty measurement. Abstract.