期刊
FINANCE RESEARCH LETTERS
卷 40, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101686
关键词
Econophysics; Economic policy uncertainty; Principal component analysis; Volatility; Correlation
资金
- National Natural Science Foundation of China [71532009, U1811462, 71790594]
- Fundamental Research Funds for the Central Universities
- Tianjin Development Program for Innovation and Entrepreneurship
- Program of Shanghai Academic Research Leader
This study constructs a global economic policy uncertainty index through principal component analysis, finding it to be a good proxy for global economic policy uncertainty and positively correlated with market volatility and correlation. The PCA-based index performs slightly better than GDP-weighted index in representing the relationships between uncertainty and market dynamics.
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic policy uncertainty index is a good proxy for the economic policy uncertainty on the global scale, which is quite consistent with the GDP-weighted global economic policy uncertainty index. The PCA-based economic policy uncertainty index is found to be positively related with the volatility and correlation of the global financial market, which indicates that the stock markets are more volatile and correlated when the global economic policy uncertainty is higher. The PCA-based global economic policy uncertainty index (T=24) performs slightly better because the relationships between the PCA-based uncertainty and market volatility and between the PCA-based uncertainty and market correlation are more significant.
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