文献类型：期刊文献

英文题名：A global economic policy uncertainty index from principal component analysis

作者：Dai, Peng-Fei[1]; Xiong, Xiong[1,2]; Zhou, Wei-Xing[3,4]

机构：[1] College of Management and Economics, Tianjin University, Tianjin, 300072, China; [2] China Center for Social Computing and Analytics, Tianjin University, Tianjin, 300072, China; [3] Department of Finance, East China University of Science and Technology, Shanghai, 200237, China; [4] Department of Mathematics, East China University of Science and Technology, Shanghai, 200237, China

年份：2019

外文期刊名：arXiv

收录：EI(收录号：20200298604)

语种：英文

外文关键词：Commerce - Economic analysis - Planning - Uncertainty analysis

摘要：This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic policy uncertainty index is a good proxy for the economic policy uncertainty on a global scale, which is quite consistent with the GDP-weighted global economic policy uncertainty index. The PCA-based economic policy uncertainty index is found to be positively related with the volatility and correlation of the global financial market, which indicates that the stocks are more volatile and correlated when the global economic policy uncertainty is higher. The PCA-based global economic policy uncertainty index performs slightly better because the relationship between the PCA-based uncertainty and market volatility and correlation is more significant. Copyright ? 2019, The Authors. All rights reserved.