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37. How Does the Economic Uncertainty Affect Asset Prices under Normal and Financial Distress Times?

Author

Balcilar, Mehmet, Ozdemir, Zeynel Abidin, Ozdemir, Huseyin, Aygun, Gurcan, and Wohar, Mark E.

Subjects
asset prices, economic uncertainty, US, R31, ddc:330, E44, G01, G12, regime switching, C32, financial conditions, E32
Abstract

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress. We find strong evidence that uncertainty shocks have adverse effects on the US financial markets, irrespective of financial conditions. Moreover, our empirical results show that the rebound in US housing prices, which fell sharply in the economic turmoil, is state-dependent. This reflects the Fed's expansionary monetary policy to stabilize the US housing market. Furthermore, our findings reveal that economic agents who closely monitor the impact of uncertainty on the US stock and housing markets should also consider financial frictions in the US economy.

Published
2022

49. sj-pdf-1-eea-10.1177_0144598721993227 - Supplemental material for Impact of oil price volatility on state-level consumption of the United States: The role of oil dependence

Author

Reneé Van Eyden, Rangan Gupta, Sheng, Xin, and Wohar, Mark E

Subjects
FOS: Materials engineering, 91299 Materials Engineering not elsewhere classified
Abstract

Supplemental material, sj-pdf-1-eea-10.1177_0144598721993227 for Impact of oil price volatility on state-level consumption of the United States: The role of oil dependence by Reneé van Eyden, Rangan Gupta, Xin Sheng and Mark E Wohar in Energy Exploration & Exploitation

Published
2021
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50. Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies

Author

Balcilar, Mehmet, Ozdemir, Zeynel Abidin, Ozdemir, Huseyin, Aygun, Gurcan, and Wohar, Mark E.

Subjects
economic policy uncertainty, ddc:330, monetary policy efficiency, QVAR, E44, G01, C32, F42, quantile spillover
Abstract

This study examines the monetary policy effectiveness of five major Asian countries (China, Hong Kong, India, Japan, and South Korea) using a quantile vector autoregression (QVAR) model-based spillover estimation approach of Balcilar et al. (2020b) at different quantile paths. To do this, we first obtain the spillover index from interest rate to industrial production and consumer price index under the high and low levels of uncertainty. The full sample results from our analysis provide partial supporting evidence for the economic theory, which asserts that monetary policy efficiency must fall during periods of high economic uncertainty. Furthermore, this approach also allows us to uncover asymmetric effects of economic policy uncertainty and lending rate on macroeconomic indicators. The impacts of interest rate and domestic and foreign (US, EU) uncertainty shocks on major Asian markets present significant asymmetric characteristics. Moreover, our time-varying results suggest that monetary policy shocks are more effective and potent on Asian economies during very low and very high uncertain times than normal economic periods.

Published
2021

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