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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…
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Keywords:
quantile causality;
uncertainty;
news based;
nonparametric quantile ... See more keywords
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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…
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Keywords:
index;
asset pricing;
uncertainty;
news based ... See more keywords