Are the policy uncertainty and cli ‘Effectıve’ indicators of volatility? Farch-Midas analysis of the G7 stock markets
| dc.contributor.author | Ersin, Özgür Ömer | |
| dc.contributor.author | Gül, Mert | |
| dc.contributor.author | Aşik, Bekir | |
| dc.date.accessioned | 2023-02-16T11:07:59Z | |
| dc.date.available | 2023-02-16T11:07:59Z | |
| dc.date.issued | 2022 | en_US |
| dc.department | Fakülteler, İşletme Fakültesi, Uluslararası Ticaret Bölümü | en_US |
| dc.description.abstract | The paper aims at the investigation of two important economic indicators, the economic policy uncertainty (EPU) and composite leading indicator (CLI) of OECD for their leading potential in forecasting the stock market volatility in G7 stock markets. To overcome the frequency discrepancy, the mixed sampling strategy is conducted with GARCH-MIDAS modeling. By utilizing a total of 42 estimations, the study has several contributions: i. both EPU and CLI are major leading indicators, ii. the model specification, rolling window, and fixed, matters, no a priori decision should be made by the researchers, iii. the positive (negative) influence of increases in EPU (CLI) cannot be rejected and should be kept in policy decisions. Lastly, comparative analysis revealed that CLI is a more efficient indicator however is closely followed by another efficient indicator, the EPU, for G7 stock markets’ volatility. | en_US |
| dc.identifier.doi | 10.24818/18423264/56.1.22.09 | en_US |
| dc.identifier.endpage | 158 | en_US |
| dc.identifier.issue | 1 | en_US |
| dc.identifier.scopus | 2-s2.0-85128470748 | en_US |
| dc.identifier.scopusquality | N/A | en_US |
| dc.identifier.startpage | 141 | en_US |
| dc.identifier.uri | https://hdl.handle.net/11467/6246 | |
| dc.identifier.uri | https://doi.org/10.24818/18423264/56.1.22.09 | |
| dc.identifier.volume | 56 | en_US |
| dc.identifier.wos | WOS:000777438800009 | en_US |
| dc.identifier.wosquality | Q4 | en_US |
| dc.indekslendigikaynak | Web of Science | en_US |
| dc.indekslendigikaynak | Scopus | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Bucharest University of Economic Studies | en_US |
| dc.relation.ispartof | Economic Computation and Economic Cybernetics Studies and Research | en_US |
| dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Composite Leading Indicators; Economic Policy Uncertainty; GARCH; Mixed Data Sampling | en_US |
| dc.title | Are the policy uncertainty and cli ‘Effectıve’ indicators of volatility? Farch-Midas analysis of the G7 stock markets | en_US |
| dc.type | Article | en_US |
