Forecasting European Economic Policy Uncertainty

Stavros Degiannakis and George Filis

No BAFES15, BAFES Working Papers from Department of Accounting, Finance & Economic, Bournemouth University

Abstract: Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going debt crisis and the Brexit vote. This paper evaluates monthly out-of-sample economic policy uncertainty index forecasts and examines whether ultra-high frequency information from asset market volatilities and global economic policy 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 volatilities. The results hold true even when we consider the directional accuracy.

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)
Pages: 13 pages
Date: 2018-03
New Economics Papers: this item is included in nep-eec, nep-for and nep-mac
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Related works:
Journal Article: Forecasting European economic policy uncertainty (2019)
Working Paper: Forecasting European Economic Policy Uncertainty (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bam:wpaper:bafes15

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