地缘政治危机是否会将欧洲金融股票市场推入一个巨大的不确定性体系？

IF 1.2 Q3 ECONOMICS

Research in Economics Pub Date : 2025-03-25 DOI:10.1016/j.rie.2025.101052

David Neto

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引用次数: 0

摘要

本文旨在探讨地缘政治风险对欧洲陷入高度金融不确定性的可能性的作用。为此，对作为欧洲股市金融不确定性代表的欧洲STOXX 50波动率指数，估计了具有时变过渡概率（TVP）的马尔可夫切换模型。与常用的固定转移概率模型不同，TVP规范允许状态之间的转移概率依赖于解释变量，在这种情况下，解释变量是地缘政治风险因素。结果表明，地缘政治风险对金融不确定性的影响是温和的、不对称的。具体来说，虽然地缘政治风险似乎引发了不确定性的激增，但它似乎并没有减少不确定性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Does geopolitical distress tip the European financial stock markets into a great uncertainty regime?

This paper aims to explore the role of geopolitical risk on the probability of falling into a high regime of financial uncertainty in Europe. To this end, a Markov-switching model with time-varying transition probabilities (TVP) is estimated for the EURO STOXX 50 volatility index, which serves as a proxy for financial uncertainty in European stock markets. Unlike the commonly used fixed transition probability models, the TVP specification allows the transition probabilities between states to depend on explanatory variables, which in this context are geopolitical risk factors. The results highlight a moderate and asymmetric effect of geopolitical risk on financial uncertainty. Specifically, while geopolitical risk appears to trigger surges in uncertainty, it does not seem to contribute to their reduction.

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来源期刊

Research in Economics ECONOMICS-

CiteScore

1.40

自引率

0.00%

发文量

审稿时长

89 days

期刊介绍： Established in 1947, Research in Economics is one of the oldest general-interest economics journals in the world and the main one among those based in Italy. The purpose of the journal is to select original theoretical and empirical articles that will have high impact on the debate in the social sciences; since 1947, it has published important research contributions on a wide range of topics. A summary of our editorial policy is this: the editors make a preliminary assessment of whether the results of a paper, if correct, are worth publishing. If so one of the associate editors reviews the paper: from the reviewer we expect to learn if the paper is understandable and coherent and - within reasonable bounds - the results are correct. We believe that long lags in publication and multiple demands for revision simply slow scientific progress. Our goal is to provide you a definitive answer within one month of submission. We give the editors one week to judge the overall contribution and if acceptable send your paper to an associate editor. We expect the associate editor to provide a more detailed evaluation within three weeks so that the editors can make a final decision before the month expires. In the (rare) case of a revision we allow four months and in the case of conditional acceptance we allow two months to submit the final version. In both cases we expect a cover letter explaining how you met the requirements. For conditional acceptance the editors will verify that the requirements were met. In the case of revision the original associate editor will do so. If the revision cannot be at least conditionally accepted it is rejected: there is no second revision.