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[3,4,5]

机构：[1]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[2]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China;[3]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[4]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2021

卷号：40

外文期刊名：FINANCE RESEARCH LETTERS

收录：;WOS:【SSCI(收录号:WOS:000691743000005)】；

基金：This work was supported by the National Natural Science Foundation of China (Grants No. 71532009, U1811462, 71790594), the Fundamental Research Funds for the Central Universities, the Tianjin Development Program for Innovation and Entrepreneurship, and the Program of Shanghai Academic Research Leader.

语种：英文

外文关键词：Econophysics; Economic policy uncertainty; Principal component analysis; Volatility; Correlation

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 the 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 stock markets are more volatile and correlated when the global economic policy uncertainty is higher. The PCA-based global economic policy uncertainty index (T=24) performs slightly better because the relationships between the PCA-based uncertainty and market volatility and between the PCA-based uncertainty and market correlation are more significant.