Forecasting European economic policy uncertainty

Stavros Degiannakis and George Filis

Scottish Journal of Political Economy, 2019, vol. 66, issue 1, 94-114

Abstract: Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing 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.

Date: 2019
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https://doi.org/10.1111/sjpe.12174

Related works:
Working Paper: 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:bla:scotjp:v:66:y:2019:i:1:p:94-114

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