Forecasting European Economic Policy Uncertainty

Stavros Degiannakis and George Filis

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Economic policy uncertainty; forecasting; financial markets; commodities markets; HAR; ultra-high frequency information (search for similar items in EconPapers)
JEL-codes: C22 C53 E60 E66 G10 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-eec, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Published in Scottish Journal of Political Economy 66.1(2019): pp. 94-114

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https://mpra.ub.uni-muenchen.de/96268/1/MPRA_paper_96268.pdf original version (application/pdf)

Related works:
Journal Article: Forecasting European economic policy uncertainty (2019)
Working Paper: Forecasting European Economic Policy Uncertainty (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96268

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