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How do Financial Markets Listen to the Economic Policy Uncertainty?

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  • Abir Abid

    (COGI - Comportements, Organisations et Gouvernance des Institutions - UCO - Université Catholique de l'Ouest)

Abstract

This chapter aims at providing a brief insight on how and to what extent the financial markets can be responsive to the Economic Policy Uncertainty (EPU). Then, after briefly discussing how such an observable phenomenon can be measured, we study how the stock markets behave in economic environment less predictable. Furthermore, apart from its domestic impacts, we analyze the extent to which the EPU in a given country might spill to foreign financial markets. In addition, our analysis is extended to study how the EPU can be a driving force of the equity premium movements. Finally, we examine its potential role as a determinant of the interconnections of the international equity system. The idea is to explore the ways in which the EPU can affect the correlation between financial markets.

Suggested Citation

  • Abir Abid, 2021. "How do Financial Markets Listen to the Economic Policy Uncertainty?," Post-Print hal-05295112, HAL.
    • Handle: RePEc:hal:journl:hal-05295112
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