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The international spillover effects of US Quality of Political Signals: A Global VAR approach

Author

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  • Hammed, Yinka S
  • Salisu, Afees
  • Akume, Michael

Abstract

We investigate the influence of US quality of political signals (USQPOLS) on advanced and emerging markets using the Global Vector Autoregressive (GVAR) model that also accommodates the macroeconomic conditions of the shock recipient markets. We show an immediate negative impact on the equity markets with about 1.5% response to a 1 standard deviation shock due to the USQPOLS. However, we find impulse responses that transcend the immediate period for the high and low quality of political signals, albeit with contrasting evidence. Additional evidence involving Global Economic Policy Uncertainty (GEPU) suggests a direct and instantaneous effect on real equity prices. We are able to trace our evidence to the exchange rate channel and document important implications for policy and practice.

Suggested Citation

  • Hammed, Yinka S & Salisu, Afees & Akume, Michael, 2025. "The international spillover effects of US Quality of Political Signals: A Global VAR approach," MPRA Paper 123530, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:123530
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    References listed on IDEAS

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    More about this item

    Keywords

    Political signals; International Equity Markets; Global Vector Autoregressive Model; Impulse Responses;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • P00 - Political Economy and Comparative Economic Systems - - General - - - General

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