Browsing by Subject "Economic policy uncertainty"

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Article

Does economic policy uncertainty forecast real housing returns in a panel of OECD countries? A Bayesian approach

Christou, Christina; Gupta, Rangan; Hassapis, Christis (2017)

This paper investigates whether the news-based measure of economic policy uncertainty (EPU) could help in forecasting the real housing returns in ten (Canada, France, Germany, Italy, Japan, The Netherlands, South Korea, ...
Article

Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model

Christou, Christina; Cunado, Juncal; Gupta, Rangan; Hassapis, Christis (2017)

This paper examines the role of economic policy uncertainty (EPU) on stock market returns for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel VAR model estimated using stochastic search ...
Working Paper Open Access

A Political Capital Asset Pricing Model

Pagliardi, Giovanni; Poncet, Patrice; Zenios, Stavros A. (The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)

We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...