This study investigates the predictability of a fixed uncertainty index (UI) for realized variances (volatility) in the international stock markets from a high-frequency perspective. We construct a composite UI based on the scaled principal component analysis (s-PCA) method and demonstrate that...

Previous studies show that economic policy uncertainty has been rising steadily since the 1960s (Baker et al. 2014), and that this secular increase has led to harmful economic outcomes such as reduced investment rates (Gulen and Ion 2016). Other studies find that politically connected directors...

We provide a competing theory of why financial intermediaries securitize their assets. We build a dynamic general equilibrium model of bank competition in which banks face a trade-off between the lending rate and the number of potential projects. Competing for projects, banks decrease their...

This paper explores whether directors’ political experience assists firms in navigating through policy uncertainty when making investment decisions. Prior research shows that policy uncertainty results in a decline in corporate investments. We find that these declines attenuate by 49% when...

This paper proposes high-frequency and dynamic indexes to measure institutions’ risklevels. The indexes based on market data, which are constructed through the dynamicfactor copula introduced by Oh and Patton (2018), allow for the evolution ofinterdependency and size among institutions. The...