...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>The North American journal of economics and finance >The transmission of US economic policy uncertainty shocks to Asian and global financial markets
【24h】

The transmission of US economic policy uncertainty shocks to Asian and global financial markets

机译：美国经济政策不确定性的传递冲击亚洲和全球金融市场

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper proposes a novel approach to investigating the spillover effects of US economic policy uncertainty shocks on the global financial markets. Employing a factor-augmented vector auto regression (FAVAR), we model US economic policy uncertainty jointly with the latent factors extracted from equity prices, exchange rates, and commodity prices. We find that US economic policy uncertainty affects these factors significantly. A country-level analysis shows heterogeneous responses to an increase in US economic policy uncertainty. With regard to equities, US economic policy uncertainty adversely affects equity prices. However, its impact on the Chinese equity market is relatively small. As for foreign exchange markets, while many currencies depreciate in response to an increase in US economic policy uncertainty, the US dollar and the Japanese yen appreciate, reflecting their safe-haven status. The Chinese yuan, whose nominal exchange rate is closely linked to the US dollar, also appreciates in response to uncertainty shocks.
机译：本文提出了一种新颖的方法来研究美国经济政策不确定性冲击对全球金融市场的溢出效应。我们使用因子增强的向量自回归（FAVAR），结合从股票价格，汇率和商品价格中提取的潜在因素，对美国经济政策的不确定性进行建模。我们发现，美国经济政策的不确定性会严重影响这些因素。国家层面的分析表明，对美国经济政策不确定性增加的反应不一。关于股票，美国经济政策的不确定性对股票价格产生不利影响。但是，它对中国股票市场的影响相对较小。至于外汇市场，尽管许多货币因美国经济政策不确定性增加而贬值，但美元和日元升值反映了它们的避险地位。名义汇率与美元紧密相关的人民币，也在应对不确定性冲击时升值。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号