On the Impact of Policy Uncertainty on Oil Prices: An Asymmetry Analysis

Bahmani‐Oskooee, Mohsen; Harvey, Hanafiah; Niroomand, Farhang

doi:10.3390/ijfs6010012

Cited by 20 publications

(8 citation statements)

References 42 publications

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“…Cesa-Bianchi (2013) discover that housing prices correlate with the real effective exchange rate. Therefore, Bahmani-Oskooee et al (2018) note that the inflationary effects of currency depreciation could spread to housing markets and push housing prices higher.…”

Section: Methodology and Empirical Modelmentioning

confidence: 99%

The effects of uncertainty shocks on global housing markets

Chien

Setyowati

2020

IJHMA

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Purpose This paper aims to investigate how different uncertainty shocks affect international housing prices. Design/methodology/approach The authors set up a model of housing price instability with four uncertainty variables and apply the panel generalized method of moments method and quantile regression to estimate the linear and non-linear linkages among the variables based on data of 56 countries from 2001Q1 to 2018Q2. Findings Some empirical findings are as follows. Higher macroeconomic uncertainty and global economic policy risk increase housing price instability, whereas greater financial uncertainty and geopolitical risk present reverse effect. Four uncertainty variables are good signals for housing price changes in Asia, and geopolitical risk takes leading role in Europe. Macroeconomic uncertainty positively impacts housing price instability only at a low or middle level in all regions, as financial uncertainty, global economic policy uncertainty and geopolitical risk effects in all regions are smaller at the middle or high level of housing price instability; this confirms the existence of non-linear correlation between each variable. Originality/value The findings help investors and policymakers gain a better notion of housing price instability and control into uncertainty signal that could cause housing price instability crash.

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Section: Methodology and Empirical Modelmentioning

confidence: 99%

The effects of uncertainty shocks on global housing markets

Chien

Setyowati

2020

IJHMA

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“…In this research, we also test whether the spillover effect is symmetric. Given the nonlinear structure of the economy (Mishkin, 2011, p. 83), the issue of asymmetry is explored in many different fields – see, for example, in the case of exploring the relationship between policy uncertainty and oil prices (Bahmani-Oskooee, Harvey, and Niroomand, 2018), between real output and income distribution (Bahmani-Oskooee and Motavallizadeh-Ardakani, 2018), between policy uncertainty and demand for money (Bahmani-Oskooee and Nayeri, 2018), between policy uncertainty and real output (Istiak and Serletis, 2018), among others. In this backdrop we use a nonlinear structural VAR and the impulse response-based test proposed by Kilian and Vigfussion (2011) to investigate whether the relationship between the US policy uncertainty and each of the stock markets of GCC countries is symmetric.…”

Section: Introductionmentioning

confidence: 99%

US economic policy uncertainty spillover on the stock markets of the GCC countries

Istiak

Alam

2020

JES

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PurposeThis study aims to investigate the nature and degree of US economic policy uncertainty spillover on the stock markets of a group of non-conventional economies like the Gulf Cooperation Council (GCC) countries, where a risk-sharing-based financial system is prominent and foreign investment, risk-free interest, derivatives, etc. are not as widespread as in the western economies.Design/methodology/approachthe monthly data of 1992–2018, linear and nonlinear structural vector autoregression (VAR) model, and an impulse response-based test to explore the nature and degree of US economic policy uncertainty spillover on the stock markets of the GCC countries.FindingsThis study finds that an unexpected increase in the US economic policy uncertainty significantly decreases the stock market index of all the GCC countries. This study also gets this relationship symmetric, meaning that the GCC stock market indices decrease and increase by the same amount when the US economic policy uncertainty increases and decreases, respectively.Originality/valueThis study investigates the characteristics of economic policy uncertainty spillover from the biggest economy of the world to the stock markets of the GCC region, which is new to the literature. The study results provide the first evidence that a risk-sharing based financial system does not necessarily protect the stock market from US uncertainty shock. However, the abundance of local investors, risk-sharing investment activities, the absence of derivatives, etc. may be responsible for the symmetric behavior of a stock market.

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“…3 Others have also used the new policy uncertainty measure to assess its impact on other macro variables. The list includes Wang et al (2014) who assessed the response of corporate investment to the new uncertainty measure, Pastor and Veronesi (2013), Ko and Lee (2015), and Brogaard and Detzel (2015) who assessed the response of risk premia and market returns to uncertainty, Baker et al (2016) who considered the response of economic activity and firm-level outcomes, Bahmani-Oskooee and Ghodsi (2017) who investigated the response of housing prices in each state of the U.S., Kang and Ratti (2013) as well as Bahmani-Oskooee et al (2018) who looked into the link between the new uncertainty measure and oil prices, and who assessed the impact of policy uncertainty on the demand for money in the U.S.…”

Section: Introductionmentioning

confidence: 99%

On the effects of policy uncertainty on stock prices

Bahmani‐Oskooee

Saha

2019

J Econ Finan

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A new measure of policy uncertainty that relies upon newspapers' reporting of any words that contribute to an uncertain environment is constructed and published by Policy Uncertainty Group. In this paper we assess its impact on stock prices in 13 countries for which we were able to locate the required data. We find that in almost all 13 countries, increased uncertainty has adverse short-run effects but not long-run effects on stock prices.

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On the Impact of Policy Uncertainty on Oil Prices: An Asymmetry Analysis

Cited by 20 publications

References 42 publications

The effects of uncertainty shocks on global housing markets

The effects of uncertainty shocks on global housing markets

US economic policy uncertainty spillover on the stock markets of the GCC countries

On the effects of policy uncertainty on stock prices

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