Many commentators argue that uncertainty about tax, spending, monetary and regulatory policy slowed the recovery from … the 2007-2009 recession. To investigate this we develop a new index of economic policy uncertainty (EPU), built on three … components: the frequency of newspaper references to economic policy uncertainty, the number of federal tax code provisions set …

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of … liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …

This paper proposes the volatility of sovereign credit default swaps (CDS) as a measurement of economic uncertainty … volatility of sovereign CDS spreads contains information about economic uncertainty. For a broad panel of 16 countries we find … that sovereign CDS volatility shares directional information with popular news-based economic policy uncertainty (EPU …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … indices of monetary, fiscal and trade policy uncertainty for each country, as well as three measures of option-implied stock … strong sources of uncertainty spillovers throughout the sample period. …

Theory as well as empirics suggest that both the level and the volatility of uncertainty impact important economic … variables. There is a need to extend models of uncertainty to the volatility of uncertainty. We analyse the dynamics of the … Economic Policy Uncertainty index developed by (Baker et al., 2016) and show that for four major economies in Europe – France …

We investigate the effects of economic uncertainty on the return volatility of financial assets, including equities …, bonds, foreign exchange and commodities. We use several popular measures of economic uncertainty, and find the uncertainty … displays significant but heterogeneous effect on financial volatility. Economic uncertainty constructed in a data rich …

Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly … underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations … that uncertainty about risk is highly relevant for stock prices …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission … factors from such indicators into a framework that can simultaneously estimate historical macroeconomic uncertainty and its …