The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-016-1150-0
Abstract: A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil price movements. Against this backdrop, this paper uses a kth-order nonparametric… read more here.
Keywords: quantile causality; uncertainty; news based; nonparametric quantile ... See more keywords
The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109606
Abstract: Abstract We develop a new monthly and daily index of economic policy uncertainty for Italy based on articles from the Sole 24 Ore (a popular Italian business daily newspaper). VAR investigations document that an unexpected… read more here.
Keywords: index; asset pricing; uncertainty; news based ... See more keywords