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Economic Policy Uncertainty and Insider Trading
Journal of Financial Research, 2022In this article, we examine the effects of economic policy uncertainty (EPU) on insider trading. Two hypotheses predict that EPU is positively related to insider trading volume and profitability: (1) the private benefits hypothesis, which states that insiders exploit their information advantage to realize abnormal profits, and (2) the signaling ...
Sadok El Ghoul +3 more
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Economic Policy Uncertainty and Momentum
SSRN Electronic Journal, 2018AbstractWe show that a news‐based measure of economic policy uncertainty (EPU) negatively forecasts momentum. A 1‐standard‐deviation increase in EPU is associated with a 1.11% decrease in risk‐adjusted momentum returns. The predictive power of EPU is robust after controlling for previously documented economic state variables and macroeconomic ...
Ming Gu +3 more
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A Note on the “Economic Policy Uncertainty Index”
Social Indicators Research, 2017This paper builds upon the renowned media reports-based "Economic policy uncertainty" (EPU) index and analyzes its Granger-causal interrelationships with consumer confidence and aggregate economic activity. Employing a heterogeneous panel Granger causality test on data from 13 world countries, the authors find that: i) the analyzed countries are quite ...
Škrabić Perić, Blanka, Sorić, Petar
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Economic policy uncertainty and duration of export
2015 International Conference on Behavioral, Economic and Socio-cultural Computing (BESC), 2015Using the new uncertainty indexes from Baker et al. (2012), we investigate the effect of economic policy uncertainty in the United States on export duration of Chinese industrial enterprises. The empirical results show that economic policy uncertainty in the United States is negatively related to the duration of export and the conclusion is robust when
Qi-Zhen Wang, Ying-Ming Zhu
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Insurance and economic policy uncertainty
Research in International Business and Finance, 2020Abstract Just as the world has witnessed the increased importance of the insurance sector over the past few decades, it has also witnessed a sharp rise in risks and uncertainties. Surprisingly, studies analyzing the relationship between economic policy uncertainty and the insurance sector are almost non-existent. Another major limitation of insurance
Balcilar, Mehmet +3 more
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FOMC policy preferences and economic policy uncertainty
Economics Letters, 2021Abstract This paper studies the relationship between the individual monetary policy preferences of Federal Open Market Committee meeting participants and the private sector’s economic policy uncertainty. We find that an increase in economic policy uncertainty is associated with a preference for monetary policy easing, and this effect is in addition ...
Michael A. Ellis, Dandan Liu
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Economic policy uncertainty and risk spillovers in the Eurozone
Journal of International Money and Finance, 2015This paper focuses on the impact of economic policy uncertainty on risk spillovers within the Eurozone and contributes to these two growing literatures. To this end, we adapt the two-step procedure developed by Adrian and Brunnermeier (2011) in the framework of financial systemic risk to sovereign bond market. Accordingly, we attempt (i) to measure the
Oscar Bernal +2 more
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Economic policy uncertainty and the Greek economic crisis
Journal of Economic Studies, 2023PurposeThe authors construct an index of economic policy uncertainty (EPU) for Greece using textual analysis and analyze its role in the 10-year Greek economic crisis.Design/methodology/approach To identify the causal relationship between various measures of economic activity and EPU in Greece, the authors use a sophisticated “shock-based” structural ...
Gikas Hardouvelis +3 more
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Individual ethics and economic policy uncertainty
Emerging Markets ReviewWe find that heightened economic policy uncertainty (EPU) increases the likelihood of individual unethical behavior. Using a sample of 166 million adviser-month observations spanning two decades (2000-2020), we find a positive, symmetric, and long-lasting relationship between EPU and advisers' propensity for misconduct.
Tyler Hull +2 more
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Economic Policy Uncertainty, Political Uncertainty and the Greek Economic Crisis
2018We use textual analysis to construct an index of economic policy uncertainty (EPU) for Greece from 1/1998 to 12/2017, similar to other international EPU indices. We also construct indices of political uncertainty (POLU) and economic uncertainty (EU), plus EPU sub-indices related to fiscal policy (EPUF), monetary policy (EPUM), banking (EPUB), currency ...
Gikas A. Hardouvelis +3 more
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