A global economic policy uncertainty index from principal component analysis

نویسندگان

چکیده

This paper constructs a global economic policy uncertainty index through the principal component analysis of indices for twenty primary economies around world. We find that PCA-based is good proxy on scale, which quite consistent with GDP-weighted index. The found to be positively related volatility and correlation financial market, indicates stock markets are more volatile correlated when higher. (T=24) performs slightly better because relationships between market significant.

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ژورنال

عنوان ژورنال: Finance Research Letters

سال: 2021

ISSN: ['1544-6131', '1544-6123']

DOI: https://doi.org/10.1016/j.frl.2020.101686