2019年第十五期
题目：How does economic policy uncertainty drive Asian emerging stock market volatilities? A perspective from GARCH-MIDAS approach
报告人：夏婷
时间：2019年12月3日 11:50—12:50
地点：北二331
摘要：This paper investigates how does economic policy uncertainty (EPU) of major economies (China, Europe, Japan and the United States) generates shocks to the stock markets of eight Asian emerging economies. We employ GARCH-MIDAS to examine the data with mixed frequency. We find that Asian emerging stock markets are negatively influenced, and that the EPU impacts become weak after the 2008 financial crisis. Overall, the Chinese EPU is the most influential one, and Japanese EPU has the weakest effects. Europe and the US are significant across the whole period but attenuate to be less influential in the post-financial crisis period. Although EPU has an impressive exposure to Asian emerging stock market volatilities, its performance of volatility forecast leaves large room for future studies.
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