Is pass‑through of the exchange rate to restaurant and hotel prices asymmetric in the US?Role of monetary policy uncertainty

This study examines the exchange rate pass-through to the United States(US)restaurant and hotel prices by incorporating the effect of monetary policy uncertainty over the period 2001:M12 to 2019:M01.Using the nonlinear autoregressive distributed lag(NARDL)model,empirical evidence indicates asymmetric pass-through of exchange rate and monetary policy uncertainty.Moreover,a stronger pass-through effect is observed during depreciation and a negative shock in monetary policy uncertainty,corroborating asymmetric pass-through predictions.Our results further show that a positive shock in energy prices leads to an increase in restaurant and hotel prices.Furthermore,asymmetric causality indicates that a positive shock in the exchange rate causes a positive shock to restaurant and hotel prices.We found feedback causal effects between positive and negative shocks in monetary policy uncertainty and positive and negative shocks in the exchange rate.Additionally,we detected a one-way asymmetric causality,flowing from a positive(negative)shock to a positive(negative)shock in energy prices.Therefore,these findings provide insights for policymakers to achieve low and stable prices in the US restaurant and hotel industry through sound monetary policy formulations.Highlights.The drivers of restaurant and hotel business in tourism destinations are examined.There is asymmetric pass-through of exchange rate and monetary policy uncertainty.A stronger pass-through is observed during appreciation and a negative shock to monetary policy uncertainty.There is asymmetric causality from positive shock in exchange rate to postive shock in restaurant and hotel prices.

Dynamic response pattern of gold prices to economic policy uncertainty

Based on a time-varying parameter structural vector autoregression with stochastic volatility(TVP-SVAR-SV)model,the time-varying effects and country differences of economic policy uncertainty(EPU)on gold prices from August 2006 to December 2017 were examined.The results show that the effects of global economic policy uncertainty(GEPU)shock on gold prices change over time.The changes were positive during 2006-2008 and 2013-2017,while the impacts were negative during 2009-2012,implying that the efficiency of gold as a safe haven is not stable and depends on economic conditions.There are significant country differences regarding the impact of EPU on the price of gold,particularly during the international financial crisis,European debt crisis and Trump election.During the international financial crisis,EPU exerts a positive impact on gold prices in most countries.During the European debt crisis,the impact of EPU on gold prices is mainly negative in the examined countries.While during the Trump election,the impact displays positive and negative alternating in most countries.

The role of R&D and economic policy uncertainty in Sri Lanka’s economic growth

In this paper,we assess the role of investment in research and development(R&D)and economic policy uncertainty(EPU)in Sri Lanka’s economic growth experience.We do this by first determining which endogenous growth theories best explain the evolution of total factor productivity(TFP)in the country.Using historical time series data(1980–2018),we find that semi-endogenous growth theories best explain the evolution of TFP in Sri Lanka.This evidence suggests that R&D is critical to the country’s TFP expansion.We find that,through R&D,EPU has a crucial detrimental impact on TFP growth,although it is short-lived.Our findings are robust and have important implications for R&D investment and for moderating EPU.

Dynamic connectedness between stock markets in the presence of the COVID‑19 pandemic:does economic policy uncertainty matter?

This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty(EPU)in eight countries where COVID-19 was most widespread(China,Italy,France,Germany,Spain,Russia,the US,and the UK)by implementing the time-varying VAR(TVP-VAR)model for daily data over the period spanning from 01/01/2015 to 05/18/2020.Results showed that stock markets were highly connected during the entire period,but the dynamic spillovers reached unprecedented heights during the COVID-19 pandemic in the first quarter of 2020.Moreover,we found that the European stock markets(except Italy)transmitted more spillovers to all other stock markets than they received,primarily during the COVID-19 outbreak.Further analysis using a nonlinear framework showed that the dynamic connectedness was more pronounced for negative than for positive returns.Also,findings showed that the direction of the EPU effect on net connectedness changed during the pandemic onset,indicating that information spillovers from a given market may signal either good or bad news for other markets,depending on the prevailing economic situation.These results have important implications for individual investors,portfolio managers,policymakers,investment banks,and central banks.

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH‑MIDAS model

This study investigates the impact of economic policy uncertainty(EPU)on the volatility of European Union(EU)carbon futures prices and whether it has predictive power for the volatility of carbon futures prices.The GARCH-MIDAS model is applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance(EUA)futures.We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and six GARCH-type models.Our empirical results show that the GARCH-MIDAS models,which exhibit superior out-of-sample predictive ability,outperform GARCH-type models.The results also indicate that EPU has noticeable effect on the volatility of EUA futures.Specifically,the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU index.Robustness checks further confirm that the EPU index(especially the EPU index of the EU)has strong predictive power for EUA futures prices.Additionally,using the volatility forecasting methods that GARCH-MIDAS models combine with the EPU index,investors can construct their portfolios to realize economic returns.

Preventing crash in stock market:The role of economic policy uncertainty during COVID‑19

This paper investigates the impact of economic policy uncertainty(EPU)on the crash risk of US stock market during the COVID-19 pandemic.To this end,we use the GARCHS(GARCH with skewness)model to estimate daily skewness as a proxy for the stock market crash risk.The empirical results show the significantly negative correlation between EPU and stock market crash risk,indicating the aggravation of EPU increase the crash risk.Moreover,the negative correlation gets stronger after the global COVID-19 outbreak,which shows the crash risk of the US stock market will be more affected by EPU during the epidemic.

On the time-varying correlations between oil-,gold-,and stock markets:The heterogeneous roles of policy uncertainty in the US and China

This paper investigates the effects of economic policy uncertainty(EPU)and monetary policy uncertainty(MPU)in the US and China on oil-stock and gold-stock correlations.A quantile regression approach is employed to analyze the heterogeneous impacts under different market correlation regimes.Our findings suggest that the“US impact”prevails across all market correlations in the sample,while“China impact”is found for oil-stock correlations.Furthermore,the impacts of EPU and MPU on correlations of different asset pairs exhibit heterogeneity in direction and in different correlation regimes.EPU and MPU have homogenously negative effects on gold-stock correlations across various correlation regimes.Differently,in terms of oil-stock correlations,they exhibit more significant and stronger positive impacts in the medium and high correlation regime than in the low correlation regime.Gold can provide a better diversification for stock market risks than crude oil during the period of high level of economic uncertainty.

Raising capital amid economic policy uncertainty:an empirical investigation

This paper investigates how economic policy uncertainty affects firms’frequency and their choice of financial instruments to raise capital.By applying a three-step sequential framework over a sample of 6834 publicly listed US non-financial firms,we find that during periods of high economic uncertainty,firms raise capital more frequently with a preference toward debt financing.The empirical findings suggest that firms prefer debt financing over equity financing to avoid ownership dilution and high equity premia.The rise in leverage during periods of high economic uncertainty highlights the importance of scrutinizing policy tools used to stabilize the economy during such times.

Economic Policy Uncertainty,Heterogeneity of Executives and Enterprise Innovation

This study analyzes how economic policy uncertainty affects corporate innovation,and the moderating effects of executive heterogeneity.A threephase dynamic investment and financing model is first built to analyze the mechanism.Empirical analysis confirms that the increase in the degree of economic policy uncertainty promotes enterprise innovation.Further results show that this promotion effect is more significant in enterprises with male executives,low educational level,no financial experience and political background.Moreover,the positive impact is only found in enterprises with moderate executive ability,and the overconfidence of senior executives plays a positive regulating role in it.

The Influence of Economic Policy Uncertainty and Habit Formation on Rural Residents’ Consumption

Based on the household survey data of rural residents in 30 provinces(cities,districts)of China from 1995 to 2019,this paper constructs an econometric model of farmers’consumption behavior with habit formation and economic policy uncertainty,and makes an empirical analysis of farmers’consumption behavior by using sys-gmm estimation method.The results show that:since the reform and opening up,the changes of Chinese farmers’consumption behavior not only show excessive sensitivity to income changes on the whole,but also show a significant habit forming effect,and the existence of habit effect will reduce the impact of economic policy uncertainty on consumption;there is a large gap between regions,and the consumption in the western region is affected by the uncertainty of economic policy,the impact is greater.Therefore,the government should pay attention to the impact of economic shock on consumption,maintain the systematicness and stability of the policy,enhance the stability,continuity and accuracy of the policy,drive the development of the western region,build a long-term policy mechanism to promote the sustained and rapid increase of farmers’income,and further change farmers’consumption concept.

Import Policy Uncertainty and Innovation

The Chinese government has emphasized innovation as the primary driving force for economic development in the new era.This paper studies the effect of import policy uncertainty(IPU)on the innovation activity of Chinese manufacturing firms.It establishes a simple model to show that the presence of IPU encourages innovation and that a reduction in IPU discourages innovation.It distinguishes the almost unnoticed IPU reduction from tariff reduction on China's WTO accession and develops a novel difference-in-differences specification that identifies the negative effect of IPU reduction on innovation using updated data for Chinese manufacturing and patent filings.The result holds after a battery of identification assumptions and robustness checks are considered.The import channel explains about two thirds of the effect of IPU on innovation,but not all of the effect.Finally,this paper examines the effect across firms of different levels of productivity and ownership types and patents of different categories.

Does energy policy uncertainty matter for renewable energy and energy efficiency technologies?An affordable and clean energy perspective

Uncertainty can affect both macroeconomic indicators and the environment.Countries are implementing various energy policies to combat global warming,but these policies contain some uncertainties and contradictions.The environmental impact of uncertainties in energy policies is a research topic that has just begun to be investigated by researchers.This study examines the effects of energy policy uncertainty(ENERPU)on renewable energy R&D(RR&D),energy efficiency R&D(EER&D)and renewable energy consumption in the four countries with the highest RR&D expenditures(USA,Germany,Japan,and Spain).The study uses the novel multivariate quantile-on-quantile(M-QQR)approach from 2003m1 to 2022m9.The results of the study show:(i)The impact of ENERPU varies by quantile and country.(ii)ENERPU causes a decrease in renewable energy consumption and hinders RR&D expenditures.(iii)ENERPU increases EER&D.The Fourier quantile causality test confirms the robustness of the empirical results.Based on these findings,policymakers are recommended to minimize ENERPU and implement stable energy policies to develop the renewable energy sector and technologies.

How Does Economic Policy Uncertainty Impact a Country's Position in Global Value Chains?

Economic globalization in the 21st century has been characterized by the rise and spread of global value chains(GVCs).It faces significant challenges due to increasing domestic and international policy uncertainty in the context of emerging mega risks like geopolitical tensions and climate change.This paper begins by constructing a theoretical model for an open economy to study how risk-averse firms make decisions regarding the sourcing of intermediate inputs in an uncertain environment.Our model solution proposes that firms will source fewer intermediate inputs from countries with more economic uncertainty.An increase in domestic and foreign uncertainty will have opposite impacts on a country's position in GVCs.In this sense,we argue that a country tends to move downstream along GVCs if its own economic policies become more uncertain,and it tends to move upstream with an increase in the uncertainty of its trading partner countries.Our regression analyses,based on data including the World Input-Output Database,World Development Indicators,the UN Comtrade database,and the Economic Policy Uncertainty Index,provide empirical support for this model-based conclusion.Our findings highlight that a nation must consider foreign economic policy uncertainty and maintain domestic policy stability to participate in GVCs.

Policy uncertainty and land transaction prices in China

Economic policy uncertainty has prominent effects on investment and output.Using unique transaction-level data in China,this paper explores the impact of economic policy uncertainty on land transaction premiums in China.On average,a 1%increase in the policy uncertainty level reduces land transaction premiums by 3.907 percentage points.The impact of policy uncertainty is more profound for firms with tighter financial constraints and land located in cities with lower rent-to-price ratios.The influence of policy uncertainty becomes weaker after the anti-corruption campaign in China,especially in provinces scrutinised by the central inspection teams,implying that improvements in the political environment alleviates the impact of policy uncertainty.

Economic policy uncertainty and firms’investments in venture capital funds:Evidence from China

The latest business practice in the Chinese venture capital(VC)market involves the active participation of non-financial firms,as limited partners,in VC funds.Exploiting a unique hand-collected dataset from China,we find that economic policy uncertainty is positively related to the propensity of firms to participate in VC funds.Cross-sectional tests show that the positive effect of policy uncertainty on the likelihood of participating in VC funds is enhanced by industrial growth opportunities.Furthermore,economic consequence tests show that participating in VC funds is conducive to improving investment efficiency,increasing innovation performance and promoting product diversification.This study advances our understanding of firms’investment decisions and the VC industry development amid economic policy uncertainty.

State-owned Enterprises in China as Macroeconomic Stabilizers: Their Special Function in Times of Economic Policy Uncertainty

China has many state-owned enterprises(SOEs)and they have accounted for a large proportion of China's GDP over the last four decades.China's rapid growth contradicts literature that focuses on the inefficiency of SOEs.This study shows that,in periods of economic policy uncertainty(EPU),SOEs have performed a special function as"macroeconomic stabilizers."Using Chinese listed firm data from 2008 to 2019,we investigate five aspects of SOEs'unique functions as macroeconomic stabilizers:employment,investment,growth,financial operation,and expectations.When EPU increased,SOEs had more employment,higher investment expenditure,lower performance volatility,more robust financial structures,and more stable expectations than private firms.We employ the US-China trade war as an exogenous shock on EPU to conduct a difference-in-difference-in-differences approach to mitigate the problem of potentially omitted variables.The findings of this study provide a new perspective to better explain the functions of SOEs in the 21st century.

Economic Policy Uncertainty:Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries

With the increase of economic environment uncertainty,it is of great importance to study the linkage and spillover effects of economic policy uncertainty among countries.Especially,this article selects eight countries along the Belt and Road as the core countries(China,Korea,Croatia,India,Russia,Greece,Pakistan,and Singapore)and four countries(Germany,France,Japan,and UK)as the peripheral countries,and then copula technique and mixed-frequency global vector autoregressive model are employed to analyze the correlation and the spillover effect of the economic policy uncertainty(EPU)for the twelve selected countries,respectively.The proposed empirical findings show clearly that the EPU correlation among the eight core Belt and Road countries is stronger and the spillover effect of the core countries to the peripheral countries is statistically significant.As a result,for harmonious and win-win development,the Belt and Road countries should pay a close attention to the EPU,because the stability of the EPU promotes greatly the economy development.

Does green growth in E-7 countries depend on economic policy uncertainty,institutional quality,and renewable energy?Evidence from quantile-based regression

Environmental degradation is one of the most debatable topics at international forums and it is considered a prime concern for the entire world.Therefore,researchers and policymakers have turned their attention from conventional economic growth to green growth.Although the existing literature has discussed several determinants of green growth,the impact of economic policy uncertainty(EPU),renewable energy consumption(RENE),and institutional quality(IQ)on green growth(GGDP)is relatively unexplored.Hence,this study is the earliest attempt to investigate the impact of EPU,IQ,and RENE on GGDP for emerging seven(E-7)countries from 1996 to 2019.In doing so,we apply panel quantile regression(PQR).The empirical findings delineate that EPU has a negative impact on GGDP,whereas IQ and RENE enhance the GGDP in E-7 countries.Based on the outcomes,this study suggests policy implications for achieving targets of the SDG 07,SDG 08,SDG 13,and SDG 16.The governments of these countries can achieve higher GGDP by ensuring political stability and reliable macroeconomic policies and through making such flexible policies that can easily control or address unpredictable future economic issues.

Economic policy uncertainty, credit risks and banks lending decisions: Evidence from Chinese commercial banks

Using data for Chinese commercial banks from 2000 to 2014, this paper examines the effects of economic policy uncertainty(EPU) on banks' credit risks and lending decisions. The results reveal significantly positive connections among EPU and non-performing loan ratios, loan concentrations and the normal loan migration rate. This indicates that EPU increases banks' credit risks and negatively influences loan size, especially for joint-equity banks. Given the increasing credit risks generated by EPU, banks can improve operational performance by reducing loan sizes. Further research indicates that the effects of EPU on banks' credit risks and lending decisions are moderated by the marketization level, with financial depth moderating the effect on banks' credit risks and strengthening it on lending decisions.

Economic policy uncertainty and executive turnover

This paper examines whether economic uncertainty increases executive turnover.The negative perception perspective and business change theory suggest that executives are more likely to leave their jobs during periods of corporate distress.However,the additive effects of internal and external risk are thought to prompt firms to carefully consider executive turnover,thereby reducing the likelihood of executive changes.Based on the literature,we propose a checkand-balance hypothesis for the relationship between external uncertainty and executive change,according to which the optimal superposition of the internal and external risks stemming from increased external uncertainty would be to avoid a wave of executive departures.Using a sample of Chinese A-share listed companies from 2010 to 2019 and the China economic policy uncertainty index of Baker et al.(2013),we examine the impact of economic policy uncertainty on executive turnover and our results support the check-and-balance hypothesis.Our findings enhance our understanding of how economic policy uncertainty affects executive turnover,and enrich the literature on corporate risk management and strategic management.