How susceptible is the European financial stability to economic policy uncertainty?

IF 3.5 2区 经济学 Q1 ECONOMICS
Lucjan T. Orlowski
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引用次数: 2

Abstract

This study examines the interdependence and asymmetries in the relationships between the economic policy uncertainty and the selected financial stability variables in Europe. Specifically, the impact of uncertainty on inflation, equity returns, the euro in US dollar exchange rate and interest rates is analyzed. The results show a significant negative impact of shocks in economic policy uncertainty on equity returns in Europe during the examined January 1987 – January 2023 period. Uncertainty shocks affect inflation asymmetrically at different time intervals. Asymmetric responses of interest rates and the exchange rate to uncertainty shocks are also found. The results suggest that economic policies in Europe should encompass efforts to mitigate economic uncertainty.

经济政策不确定性对欧洲金融稳定的影响有多大?
本研究考察了欧洲经济政策不确定性与选定的金融稳定变量之间的相互依赖和不对称关系。具体来说,分析了不确定性对通货膨胀、股票回报、欧元对美元汇率和利率的影响。结果表明,在1987年1月至2023年1月期间,经济政策不确定性冲击对欧洲股票回报产生了显著的负面影响。不确定性冲击在不同的时间间隔对通货膨胀产生不对称的影响。利率和汇率对不确定性冲击的不对称反应也被发现。研究结果表明,欧洲的经济政策应包括减轻经济不确定性的努力。
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来源期刊
CiteScore
6.20
自引率
11.40%
发文量
76
期刊介绍: The Journal of Policy Modeling is published by Elsevier for the Society for Policy Modeling to provide a forum for analysis and debate concerning international policy issues. The journal addresses questions of critical import to the world community as a whole, and it focuses upon the economic, social, and political interdependencies between national and regional systems. This implies concern with international policies for the promotion of a better life for all human beings and, therefore, concentrates on improved methodological underpinnings for dealing with these problems.
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