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Does economic policy uncertainty drive CDS spreads?

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Cited by:

  1. Shahzad, Syed Jawad Hussain & Naifar, Nader & Hammoudeh, Shawkat & Roubaud, David, 2017. "Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis," Energy Economics, Elsevier, vol. 68(C), pages 327-339.
  2. Yao, Can-Zhong & Sun, Bo-Yi, 2018. "The study on the tail dependence structure between the economic policy uncertainty and several financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 245-265.
  3. Wei, Yanfeng, 2019. "Oil price shocks, economic policy uncertainty and China’s trade: A quantitative structural analysis," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 20-31.
  4. Mokni, Khaled, 2021. "When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 65-73.
  5. Karanasos, M. & Yfanti, S., 2021. "On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  6. Burkhard Raunig, 2018. "Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads," Working Papers 219, Oesterreichische Nationalbank (Austrian Central Bank).
  7. Fang, Libing & Yu, Honghai & Li, Lei, 2017. "The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets," Economic Modelling, Elsevier, vol. 66(C), pages 139-145.
  8. Nader Naifar & Shawkat Hammoudeh & Aviral Kumar Tiwari, 2019. "Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 507-534, August.
  9. Nguyen, Duc Nguyen & Nguyen, Canh Phuc & Dang, Le Phuong Xuan, 2022. "Uncertainty and corporate default risk: Novel evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  10. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
  11. Yu, Xiaoling & Huang, Yirong, 2021. "The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
  12. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
  13. Omar, Ayman M.A. & Lambe, Brendan J & Wisniewski, Tomasz Piotr, 2021. "Perceptions of the threat to national security and the stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 504-522.
  14. Smales, Lee A., 2020. "Examining the relationship between policy uncertainty and market uncertainty across the G7," International Review of Financial Analysis, Elsevier, vol. 71(C).
  15. Liu, Jinyu & Zhong, Rui, 2017. "Political uncertainty and a firm's credit risk: Evidence from the international CDS market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 53-66.
  16. Hsieh, Hui-Ching & Boarelli, Sofia & Vu, Thi Huyen Chi, 2019. "The effects of economic policy uncertainty on outward foreign direct investment," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 377-392.
  17. Ji, Qiang & Liu, Bing-Yue & Nehler, Henrik & Uddin, Gazi Salah, 2018. "Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach," Energy Economics, Elsevier, vol. 76(C), pages 115-126.
  18. Huobao Xie & Can Lin, 2024. "Economic policy uncertainty and directors and officers liability insurance: a perspective on capital market pressures," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(3), pages 605-635, July.
  19. Rehman, Mobeen Ur & Sensoy, Ahmet & Eraslan, Veysel & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Sensitivity of US equity returns to economic policy uncertainty and investor sentiments," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  20. Śmiech, Sławomir & Papież, Monika & Shahzad, Syed Jawad Hussain, 2020. "Spillover among financial, industrial and consumer uncertainties. The case of EU member states," International Review of Financial Analysis, Elsevier, vol. 70(C).
  21. Hu, Zhijun & Kutan, Ali M. & Sun, Ping-Wen, 2018. "Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 207-220.
  22. Montes, Gabriel Caldas & do Nascimento Valladares, Matheus, 2024. "The effects of economic uncertainty and economic policy uncertainty on banks’ loan loss provision in Brazil," Journal of Economics and Business, Elsevier, vol. 131(C).
  23. Shabir, Mohsin & Jiang, Ping & Hashmi, Shujahat Haider & Bakhsh, Satar, 2022. "Non-linear nexus between economic policy uncertainty and bank lending," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 657-679.
  24. de Oliveira, Erick Meira & Cunha, Felipe Arias Fogliano de Souza & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus & Maçaira, Paula Medina, 2020. "On the effects of uncertainty measures on sustainability indices: An empirical investigation in a nonlinear framework," International Review of Financial Analysis, Elsevier, vol. 70(C).
  25. Pan, Wei-Fong & Wang, Xinjie & Xiao, Yaqing & Xu, Weike & Zhang, Jinfan, 2024. "The effect of economic and political uncertainty on sovereign CDS spreads," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 143-155.
  26. Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
  27. Goodell, John W. & Goyal, Abhinav & Urquhart, Andrew, 2021. "Uncertainty of uncertainty and firm cash holdings," Journal of Financial Stability, Elsevier, vol. 56(C).
  28. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.
  29. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Risk spillovers between global corporations and Latin American sovereigns: global factors matter," Applied Economics, Taylor & Francis Journals, vol. 55(13), pages 1477-1496, March.
  30. Nguyen, Thanh Cong, 2021. "Economic policy uncertainty and bank stability: Does bank regulation and supervision matter in major European economies?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  31. Aviral Kumar Tiwari & Muhammad Ali Nasir & Muhammad Shahbaz, 2021. "Synchronisation of policy related uncertainty, financial stress and economic activity in the United States," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6406-6415, October.
  32. Gong, Di & Jiang, Tao & Li, Zhao & Wu, Weixing, 2022. "Optimal loan contracting under policy uncertainty: Theory and international evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  33. Liu, Jinjing & Wang, Hong, 2022. "Economic policy uncertainty and the cost of capital," International Review of Financial Analysis, Elsevier, vol. 81(C).
  34. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
  35. Valenzuela, Patricio & Mella, Javier & Claveria, Juan, 2024. "Economic uncertainty and credit risk: Evidence from international corporate bonds," Economics Letters, Elsevier, vol. 237(C).
  36. Grossmann, Axel & Ngo, Thanh, 2020. "Economic policy uncertainty and ADR mispricing," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
  37. Huynh, Toan Luu Duc & Nasir, Muhammad Ali & Nguyen, Duc Khuong, 2023. "Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 191-199.
  38. Yuting Gong & Zhongzhi He & Wenjun Xue, 2023. "EPU spillovers and sovereign CDS spreads: A cross‐country study," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1770-1806, December.
  39. Schwarz, Lucas Allan Diniz & Dalmácio, Flávia Zóboli, 2021. "The relationship between economic policy uncertainty and corporate leverage: Evidence from Brazil," Finance Research Letters, Elsevier, vol. 40(C).
  40. Islam, Md Shahidul & Alam, Md Samsul & Bin Hasan, Shehub & Mollah, Sabur, 2022. "Firm-level political risk and distance-to-default," Journal of Financial Stability, Elsevier, vol. 63(C).
  41. M. Karanasos & S. Yfanti & J. Hunter, 2022. "Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crises," Annals of Operations Research, Springer, vol. 313(2), pages 1077-1116, June.
  42. Lien, Donald & Zhang, Jiewen & Yu, Xiaojian, 2022. "Effects of economic policy uncertainty: A regime switching connectedness approach," Economic Modelling, Elsevier, vol. 113(C).
  43. M'beirick, Abdallahi & Haddou, Samira, 2024. "The asymmetric response of sovereign credit default swaps spreads to risk aversion, investor sentiment and monetary policy shocks," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 244-272.
  44. Nguyen Phuc Canh & Udomsak Wongchoti & Su Dinh Thanh, 2021. "Does economic policy uncertainty matter for insurance development? Evidence from 16 OECD countries," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(4), pages 614-648, October.
  45. Nguyen, Canh Phuc & Le, Thai-Ha & Su, Thanh Dinh, 2020. "Economic policy uncertainty and credit growth: Evidence from a global sample," Research in International Business and Finance, Elsevier, vol. 51(C).
  46. Maojun Zhang & Yang Zhao & Jiangxia Nan, 2022. "Economic policy uncertainty and volatility of treasury futures," Review of Derivatives Research, Springer, vol. 25(1), pages 93-107, April.
  47. Badshah, Ihsan & Demirer, Riza & Suleman, Muhammad Tahir, 2019. "The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging," Energy Economics, Elsevier, vol. 84(C).
  48. Dimitrios Koutmos, 2018. "Interdependencies between CDS spreads in the European Union: Is Greece the black sheep or black swan?," Annals of Operations Research, Springer, vol. 266(1), pages 441-498, July.
  49. Mokni, Khaled & Ajmi, Ahdi Noomen & Bouri, Elie & Vo, Xuan Vinh, 2020. "Economic policy uncertainty and the Bitcoin-US stock nexus," Journal of Multinational Financial Management, Elsevier, vol. 57.
  50. Canale, Rosaria Rita & De Simone, Elina & Spagnolo, Nicola, 2021. "Financial markets and fiscal discipline in the Eurozone," Structural Change and Economic Dynamics, Elsevier, vol. 58(C), pages 490-499.
  51. Bales, Stephan & Burghof, Hans-Peter, 2021. "Policy uncertainty, interest rate environment and the dynamic correlation between sovereign and bank default risk," Economics Letters, Elsevier, vol. 206(C).
  52. Xinjie Wang & Weike Xu & Zhaodong (Ken) Zhong, 2019. "Economic policy uncertainty, CDS spreads, and CDS liquidity provision," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 461-480, April.
  53. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti, 2019. "Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility," CESifo Working Paper Series 8000, CESifo.
  54. Theodoros Bratis & Nikiforos T. Laopodis & Georgios P. Kouretas, 2023. "CDS and equity markets’ volatility linkages: lessons from the EMU crisis," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1259-1281, April.
  55. Hou, Deshuai & Chan, Kam C. & Dong, Manru & Yao, Qiuge, 2022. "The impact of economic policy uncertainty on a firm’s green behavior: Evidence from China," Research in International Business and Finance, Elsevier, vol. 59(C).
  56. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2021. "Stress Spillovers among Financial Markets: Evidence from Spain," JRFM, MDPI, vol. 14(11), pages 1-21, November.
  57. Yaming Ma & Ziwei Wang & Feng He, 2022. "How do economic policy uncertainties affect stock market volatility? Evidence from G7 countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2303-2325, April.
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