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This paper considers the impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional correlations between the South African stock, bond, and foreign exchange markets. Our first stage findings using the DCC-GARCH model show that correlations between the selected...
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strategy employs new proprietary data to control for overall reporting quality. We argue and find that uncertainty about the … disclosure vary systematically with the signal of uncertainty. In instances of historic uncertainty, firms exhibit increased … reporting on the reasons and mechanisms behind changes in TLCF. Conversely, in the case of future uncertainty, they increase …
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This paper quantifies empirically the macroeconomic and financial effects of Climate Policy Risk (CPR) in Switzerland. To do so, I develop a new CPR index using text analysis techniques on a large dataset of Swiss media articles. The identification of CPR shocks is achieved by using narrative...
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