The effects of economic policy uncertainty on China’s economy: evidence from time-varying parameter FAVAR

Ren, Yinghua; Guo, Qing; Zhu, Huiming; Ying, Wanming

doi:10.1080/00036846.2019.1707475

Cited by 26 publications

(12 citation statements)

References 34 publications

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“…This is due to the fact that unexpected policy changes or propositions lead to sharp changes in risk perception of the participants in a country's economic environment. Indeed, prior research has shown that policy-related economic uncertainty (EPU) has immediate effects on a nation's economy in many ways (Ren et al , 2019; Zhang et al , 2015). Among those effects, perhaps the most easily and directly observed ones are the ones on macro-economic indicators, on companies' investment and hiring behavior, and on the functioning of financial markets (Zhang et al , 2015).…”

Section: Introductionmentioning

confidence: 99%

Economic policy uncertainty and hotel occupancy: the mediating effect of consumer sentiment

Özdemir

Han

Dalbor

2021

JHTI

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PurposeThe purpose of this paper is twofold. First, the study examines the prolonged effect of policy-related economic uncertainty on hotel operating performance, particularly the room demand (occupancy). Second, the study attempts to explain why occupancy drops when the perceived economic uncertainty is high by studying the mediating effect of consumer sentiment in the relationship between economic policy uncertainty and hotel demand.Design/methodology/approachThis quantitative study uses secondary data – US economic policy uncertainty (EPU) index, University of Michigan's index of consumer sentiment (ICS), and property-level hotel operating data from three states of the US – California, Florida and New York. Data were analyzed using random effect regression and structural equation modeling. Robustness tests were conducted to enhance the reliability of the research findings.FindingsRandom-effects regression analysis reveals that policy-related economic uncertainty has a negative and lead-lag effect on hotel occupancy, average daily rate and revenue per available room (RevPAR). Structural equation modeling results show that the relationship between economic policy uncertainty and hotel occupancy is significantly mediated by consumer sentiment. Robustness test results support the findings from the main analysis.Practical implicationsThis study offers valuable implications for the hotel professionals in regard to anticipating the economic impact of policy-related uncertainty on hotel industry and understanding how consumer sentiment affects demand at such crises times. Moreover, the study suggests potential course of actions to deal with declining room demand at times of uncertainty.Originality/valueThis empirical study explores how economic policy uncertainty affects hotel performance at the property level and explains the mediating effect of consumer sentiment on hotel room demand. The study provides a first-hand evidence of how consumer sentiment relates to the perception of economic uncertainty and leads to decline in consumer demand. In that regard, findings of the study have valuable implications for hospitality industry practitioners and relevant policymakers.

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Section: Introductionmentioning

confidence: 99%

Economic policy uncertainty and hotel occupancy: the mediating effect of consumer sentiment

Özdemir

Han

Dalbor

2021

JHTI

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“…Still other areas have been explored as well. Dao et al (2020) confirmed that EPU can significantly affect the relationship between corporate social responsibility disclosure and corporate financial performance; Ren et al (2020) found that China's EPU could influence the country's fiscal policy, monetary policy, and a range of macroeconomic indicators. Special attention should be given to EPU's impact on the tourism stock market-EPU is a key aspect of financial markets (Arouri et al, 2016;Demir and Ersan, 2018), and the tourism stock market is pivotal given its provision of financial support to tourism-related companies (Schwert, 1989;Demir et al, 2017;Yu et al, 2018a).…”

Section: Introductionmentioning

confidence: 84%

Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

et al. 2023

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This study investigates the impacts of global economic policy uncertainty (GEPU) and domestic (Chinese) economic policy uncertainty (CEPU) on the long-run volatility of the tourism stock market in China based on an improved GARCH–MIDAS–X model. Empirical results reveal that both CEPU and GEPU have significant negative effects on the long-run volatility of China’s tourism stock market. It is further identified that the impact of GEPU on tourism companies’ performance is short-lived. The findings suggest that tourism-related practitioners should monitor both CEPU and GEPU when conducting risk assessments related to tourism investment and policymaking.

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“…The TVP-VAR model is a model based on the VAR model that implies the coefficient matrix and covariance matrix are time-varying, allowing the model to capture the process of changing economic structure over time [23][24][25]. The research on Vector Autoregression (VAR) model by researchers, especially in dynamic estimation, reveals the relationship among different quantiles.…”

Section: Constructing Tvp-var Model With Stochastic Volatilitymentioning

confidence: 99%

The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm

2023

PLoS ONE

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China’s export benefits from the significant fiscal stimulus in the United States. This paper analyzes the global spillover effect of the American economy on China’s macro-economy using the Markov Chain Monte Carlo (MCMC)-Gibbs sampling approach, with the goal of improving the ability of China’s financial system to protect against foreign threats. This paper examines the theories of the consequences of uncertainty on macroeconomics first. Then, using medium-sized economic and financial data, the uncertainty index of the American and Chinese economies is built. In order to complete the test and analysis of the dynamic relationship between American economic uncertainty and China’s macro-economy, a Time Varying Parameter-Stochastic Volatility-Vector Autoregression (TVP- VAR) model with random volatility is constructed. The model is estimated using the Gibbs sampling method based on MCMC. For the empirical analysis, samples of China’s and the United States’ economic data from January 2001 to January 2022 were taken from the WIND database and the FRED database, respectively. The data reveal that there are typically fewer than 5 erroneous components in the most estimated parameters of the MCMC model, which suggests that the model’s sampling results are good. China’s pricing level reacted to the consequences of the unpredictability of the American economy by steadily declining, reaching its lowest point during the financial crisis in 2009, and then gradually diminishing. After 2012, the greatest probability density range of 68% is extremely wide and contains 0, indicating that the impact of economic uncertainty in the United States on China’s pricing level is no longer significant. China should therefore focus on creating a community of destiny by working with nations that have economic cooperation to lower systemic financial risks and guarantee the stability of the capital market.

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The effects of economic policy uncertainty on China’s economy: evidence from time-varying parameter FAVAR

Cited by 26 publications

References 34 publications

Economic policy uncertainty and hotel occupancy: the mediating effect of consumer sentiment

Economic policy uncertainty and hotel occupancy: the mediating effect of consumer sentiment

Global and domestic economic policy uncertainties and tourism stock market: Evidence from China

The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm

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