Sentiment and Uncertainty Fluctuations and Their Effects on the Euro Area Business Cycle

Aarle, Bas van; Moons, Cindy

doi:10.1007/s41549-017-0020-y

Cited by 10 publications

(5 citation statements)

References 30 publications

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“…A recent branch of the empirical literature considers survey-based measures of uncertainty. This approach relies on the fact that, in periods of higher uncertainty, there are more discrepancies between the forecasts experts or managers [9][10][11]. This underpins the construction of uncertainty indicators that exploit the dispersion or divergence between agents' expectations or forecasts.…”

Section: Introductionmentioning

confidence: 99%

Uncertainty and Business Cycle: An Empirical Analysis for Uruguay

Lanzilotta,

Mordecki,

Tapie

et al. 2023

The 9th International Conference on Time Series and Forecasting

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Section: Introductionmentioning

confidence: 99%

Uncertainty and Business Cycle: An Empirical Analysis for Uruguay

Lanzilotta,

Mordecki,

Tapie

et al. 2023

The 9th International Conference on Time Series and Forecasting

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“…This indicates that sentiment gauges to which extent consumers and producers are optimistic or pessimistic about the current and future economic conditions. As a result, the level of economic activity might be driven by how consumers and producers perceive the economic conditions to develop in the future (Van Aarle and Moons, 2017). Therefore, consumers' purchase decisions on goods and services will be built on their confidence in the state of the future economic environment (Chen, 2015).…”

Section: Introductionmentioning

confidence: 99%

Impact of sentiment and monetary policy on Mexican tourism stock returns: the domestic and US role

Irani

Hadood

Katırcıoğlu

2022

JHTI

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PurposeThis paper focuses on the role of sentiment and monetary policy (both domestic and the United States (US)) in explaining the changes in the Mexican tourism firms' stock returns for the period 1998M03–2019M12.Design/methodology/approachThe authors conducted the ordinary least square regression estimations using various models to investigate the impact of sentiment and monetary policy changes on tourism firms' stock returns. Furthermore, to provide a robust check, the authors run all regression models based on the capital asset pricing model by regressing the excess returns of tourism firms' stocks on all independent variables.FindingsEmpirical findings reveal that the changes in Mexican consumer sentiment have a stronger positive effect on tourism firms' stock returns than Mexican business sentiment changes. However, the US consumer and business sentiment are irrelevant to tourism firms' stock returns. Moreover, this study’s results indicate that changes in the US interest rates positively influence tourism firms' stock returns. This study’s findings show that as the monetary divergence between Mexico and the US (differential real interest rates) widens, the lower is the tourism firms' stock returns.Originality/valueThis study is the first to extend the prior studies by examining the effects of sentiment and monetary policy (both domestic and US role) on Mexican tourism stock return.

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“…Keynes connected sentiment to a state of long-term expectation and confidence about economic conditions and emphasised the critical role of changes in these expectations in explaining economic fluctuations (Keynes, 1936). In particular, economic sentiment is formed by the perceptions of consumers and producers about the economy's long-term development (Van Aarle and Moons, 2017). Also, economic policy uncertainty captures the sentiment related to consumers' and businesses' concerns about future economic conditions (Dragouni et al, 2016).…”

Section: Introductionmentioning

confidence: 99%

“…Economic sentiment shows to which extent consumers and producers are confident about the state of the economy. Hence, sentiment affects consumers' and producers' decisions regarding spending, saving and investing (Van Aarle and Moons, 2017), meaning economic sentiment is a crucial indicator of an economic activity's performance. A decline in economic sentiment implies deterioration in consumers' and producers' optimism towards current and future economic conditions.…”

Section: Introductionmentioning

confidence: 99%

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Impact of economic sentiment and economic policy uncertainty on travel and leisure stock return

Hadood

Irani²

2020

JHTI

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PurposeThis paper considers the role of economic sentiment and economic policy uncertainty (both domestic and European) in explaining the changes in the contemporaneous and future travel and leisure stock index returns in top European Union (EU) tourism destinations, namely, in France, Germany, Spain and the UK.Design/methodology/approachThe authors conducted the ordinary least square (OLS) regression estimations to investigate the impact of changes in economic sentiment and economic policy uncertainty on travel and leisure stock returns. Furthermore, the authors used predictive regressions to determine whether economic sentiment and economic policy uncertainty are useful predictors over the short- or medium-term for travel and leisure stock returns.FindingsEmpirical results revealed that, in France and Spain, the changes in regional economic sentiments predominantly and positively affected travel and leisure stock index returns. Also, results indicated that changes in European economic sentiment have a strong positive effect on the future travel and leisure stock returns in Spain and the UK over the short run, while in France, changes in European economic policy uncertainty have a weak negative effect on the future travel and leisure stock returns over the medium-term.Research limitations/implicationsThis paper provides valuable practical implications for investors who trade travel and leisure stocks. Traders can use economic sentiment and economic policy uncertainty to establish arbitrageur strategies.Originality/valueThis study is the first to examine the effects of economic sentiment and economic policy uncertainty (both domestic and European) on contemporaneous and future travel and leisure stock returns in a top European tourism destination.

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Sentiment and Uncertainty Fluctuations and Their Effects on the Euro Area Business Cycle

Cited by 10 publications

References 30 publications

Uncertainty and Business Cycle: An Empirical Analysis for Uruguay

Uncertainty and Business Cycle: An Empirical Analysis for Uruguay

Impact of sentiment and monetary policy on Mexican tourism stock returns: the domestic and US role

Impact of economic sentiment and economic policy uncertainty on travel and leisure stock return

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