IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v29y2022i1p22-29.html
   My bibliography  Save this article

Can economic policy uncertainty predict financial stress? A MIDAS approach

Author

Listed:
  • Xiong Xiong
  • Jiakou Liu
  • Zhifeng Liu

Abstract

In this article, by using the mixed-frequency data sampling (MIDAS) model, we investigate whether economic policy uncertainty (EPU) can predict financial stress. Our estimation results show that EPU has a significant positive effect on the future financial stress, indicating that EPU is a determinant of financial stress. Moreover, the out-of-sample prediction results show that the MIDAS model performs better than the traditional time-series OLS model.

Suggested Citation

  • Xiong Xiong & Jiakou Liu & Zhifeng Liu, 2022. "Can economic policy uncertainty predict financial stress? A MIDAS approach," Applied Economics Letters, Taylor & Francis Journals, vol. 29(1), pages 22-29, January.
  • Handle: RePEc:taf:apeclt:v:29:y:2022:i:1:p:22-29
    DOI: 10.1080/13504851.2020.1854664
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2020.1854664
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/13504851.2020.1854664?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Altınkeski, Buket Kırcı & Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2022. "Financial stress transmission between the U.S. and the Euro Area," Journal of Financial Stability, Elsevier, vol. 60(C).
    2. Gong, Xu & Sun, Yi & Du, Zhili, 2022. "Geopolitical risk and China's oil security," Energy Policy, Elsevier, vol. 163(C).
    3. Kaihua Wang, 2024. "Economic policy uncertainty and green finance: evidence from frequency and quantile aspects," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-26, February.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:29:y:2022:i:1:p:22-29. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.