Munich Personal RePEc Archive

Forecasting European Economic Policy Uncertainty

Degiannakis, Stavros and Filis, George (2019): Forecasting European Economic Policy Uncertainty. Published in: Scottish Journal of Political Economy , Vol. 1, No. 66 (February 2019): pp. 94-114.

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Abstract

Forecasting the economic policy uncertainty in Europe is of paramount importance given the on-going sovereign debt crisis. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra-high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no-change forecast. The results show that the global economic policy uncertainty provides the highest predictive gains, followed by the European and US stock market realized volatilities. In addition, the European stock market implied volatility index is shown to be an important predictor of the economic policy uncertainty.

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