Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1803096
Forecasting Chinese EPU based on financial uncertainty in emerging market economies (EMEs): evidence from six selected East Asian economies
Bing Xu
Mohib Ur Rahman
Haijing Yu
Sažetak
While the influential role of Economic Policy Uncertainty (EPU) on
economic activity and financial markets is well-documented, little
is known about how to forecast EPU, especially in the framework
of an emerging market economy (EME). We forecast the newly
developed EPU index of China based on financial uncertainty
(measured by a realised volatility) of the selected East Asian
Economies (EAEs) including ASEAN5 and Hong Kong, having close
trade linkages with China, by using LR and DT methods. After
controlling for macroeconomic variables, it is evident that the
realised volatility of regional EAEs significantly forecasts the EPU
of China, except for Thailand. Moreover, comparing the performance of both models based on the accuracy classification score
test, LR performs better than DT. Policymakers, who aim to keep
and maintain a low level of EPU to achieve effective investment
policies and avoid reduced consumer spending, should take into
account the findings of this study.
Ključne riječi
Economic policy uncertainty (EPU); East Asian economies (EAEs); logistic regression (LR); decision tree (DT)
Hrčak ID:
301183
URI
Datum izdavanja:
31.12.2021.
Posjeta: 159 *