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Examining the relationship between policy uncertainty and market uncertainty across the G7

机译：在G7中审查政策不确定性与市场不确定性之间的关系

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摘要

Economic policy uncertainty (EPU) relates to ambiguity surrounding possible changes in government policy and their associate impact on firm performance. This uncertainty places additional stress on economic agents and has implications for the global economy via delays in firm investment and hiring, and postponement of household consumption. We utilise the EPU measure of Baker et al. (2016) to investigate whether financial market uncertainty is related to policy uncertainty across the G7 economies. Our empirical results show that financial market uncertainty (implied volatility) increases as economic policy uncertainty increases (and the economy weakens). This relationship holds even after controlling for macroeconomic state variables and country/time fixed effects, and is consistent for monthly and daily data frequency. The correlation of political uncertainty among countries varies over time, increasing in tranquil times with low EPU, and sharply decreasing during times of crisis. We also show that US and Japanese policy uncertainty has an economic and statistically significant relationship with global financial market uncertainty, a spill-over effect that is consistent with the size of their economies, and the important role that US policy decisions play in the global economy.
机译：经济政策不确定性（EPU）涉及政府政策的含糊不清的可能变化及其对公司绩效的助理影响。这种不确定性对经济代理人额外的压力，通过延迟投资和招聘，并推迟了家庭消费，对全球经济带来了影响。我们利用Baker等人的EPU措施。 （2016）调查金融市场不确定性是否与G7经济体的政策不确定性有关。我们的经验结果表明，金融市场不确定性（隐含波动）随着经济政策不确定性的增加而增加（经济削弱）。这种关系即使在控制宏观经济状态变量和国家/时间的固定效果之后也可以保持，并且是每月和日常数据频率的一致性。各国之间的政治不确定性的相关性随着时间的推移而变化，随着EPU的低次数增加，在危机时期急剧下降。我们还表明，美国和日本政策不确定性与全球金融市场不确定性具有经济和统计学的关系，溢出效果，与其经济规模符合，以及美国政策决策在全球经济中发挥的重要作用。

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