H2020Индивидуална стипендия2016–2018

GlobalPolicyUncertainty · Global Policy Uncertainty and International Asset Markets

„Хоризонт 2020“ — Действия „Мария Склодовска-Кюри“

Период: 2016-09-22 → 2018-09-21
Финансиране от ЕС: 158 122 €
Участници: 1
Схема: MSCA-IF-EF-ST

Линиите свързват координатора с партньорите.

Накратко на български

Несигурността около държавните политики, като например Brexit или избори в САЩ, влияе върху доходността на държавните облигации в целия свят. Разбирането на тези процеси помага на международните инвеститори да управляват по-ефективно своите портфолио в нестабилни периоди.

Този кратък обзор е генериран от изкуствен интелект

Кратко обяснение, генерирано от езиков модел по текста на CORDIS. Оригиналът е по-долу.

Резултати накратко

Global Policy Uncertainty and International Asset Markets

Governments establish policies and regulations that impact on economic growth and welfare. A ubiquitous byproduct of policymaking is policy uncertainty, which may have severe adverse effects on the economy, for instance, leading to lower investment, reduced trade activity and lower asset prices. Moreover, given the interconnectedness of the world economy, policy uncertainty has spillover effects beyond national borders. Recent events, such as the US elections, Brexit, or the budget dispute in Italy, have been associated with an increase in policy uncertainty within and across borders, which pose challenging questions for the portfolio construction of international investors. In times of high policy uncertainty, investors commonly seek shelter in safe haven assets such as sovereign bonds. Consequently, both domestic and foreign policy uncertainty affect government bond yields. The main objective of the project is to understand how a country’s yield curve responds to a change in both domestic and foreign policy uncertainty. In light of the high policy uncertainty of recent years and its profound impact on financial markets, we argue that a deeper understanding of the effects of economic policy uncertainty on global yield curve is both timely and relevant. The novelty of the project lies in the fact that, contrarily to studies that analyzed the impact of policy uncertainty within a country, this project contributes by understanding government policy uncertainty as a global phenomenon and studying its impact on international financial markets. The project links several strands of economic literature, such as international finance, empirical asset pricing, and macroeconomics, and contributes to an active and growing literature on policy uncertainty by exploring its international dimensions

Текст от CORDIS, на английски · Данни: CORDIS, © Европейски съюз

Цел на проекта

Government policies - fiscal, monetary, and regulatory - define the rules of the game for economic agents. However, uncertainty about policy changes may affect the economy adversely as it acts as an additional source of risk. In an interconnected world economy, policy uncertainty has spillover effects beyond national borders, and becomes a global source of risk. In this context, this project investigates the relationship between global policy uncertainty - the common driver of uncertainty across countries - and international financial markets. In the aftermath of the financial crisis, it is timely and relevant to deepen our understanding of these relationships. This may, in turn, inform the development of policies that minimize the adverse impacts of uncertainty, particularly in regions of high economic integration as the Euro zone. First, I assemble a multi-country panel dataset that combines measures of country-level policy uncertainty with a variety of financial instruments. I construct a new measure of global policy uncertainty and document its correlation with the term structure, volatility, and other characteristics of assets. Next, I develop a multi-country general equilibrium asset-pricing model in which unobserved government actions affect productivity. As a novel feature, I introduce asymmetric information: residents of a country have superior knowledge about their government's actions compared to foreigners. Global policy uncertainty arises from fundamental risks and information heterogeneity, and it is priced in equilibrium. I use the model to measure the importance of global and country-level uncertainty as asset pricing determinants, and to quantify the impact of uncertainty-reducing strategies such as increasing government transparency. The project links international finance, asset pricing, and macroeconomics, and contributes to an active literature on the consequences of policy uncertainty by exploring its international dimensions.

Оригинален текст от CORDIS (на английски).

Участници

UNIVERSIDAD POMPEU FABRA · BarcelonaКоординаторИспания