“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices
Matteo Foglia & Peng-Fei Dai
The purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices.
This paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study.
The findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty.
This study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market.
Cryptocurrency uncertainty index, Economic policy uncertainty, Spillover dynamics, Timevarying VAR
2022, Journal of Asian Business and Economic Studies
This study explores the response of consumer confidence in policy uncertainty in the Japanese context. The study also considers the dynamism of stock market behavior and financial stress and its impact on consumer confidence, which has remained unaddressed in the literature. The role of these control variables has important implications for policy discussions, particularly when other countries can learn from Japanese experiences.
The nonlinear autoregressive distributed lag model postulated by Shin et al. (2014) was used for studying the asymmetric response of consumer confidence to policy uncertainty. This method has improved estimates compared to traditional linear cointegration methods.
The findings confirm the asymmetric impact of policy uncertainty on the consumer confidence index in Japan. The impact of the rise in policy uncertainty is greater than that of a fall in asymmetry on consumer confidence in Japan. Furthermore, the Wald test confirmed asymmetric behavior.
The contribution of this study is threefold. First, this study contributes to the extant literature by analyzing the asymmetric response of consumer confidence to policy uncertainty, controlling for both the financial stress and stock price indices. Second, to test the robustness of the exercise, the study utilized different frequencies of observations. Third, this study is the first to utilize the concept of Arbatli et al. (2017) to formulate a combined index of uncertainty based on economic policy uncertainty index, along with uncertainty indices such as fiscal, monetary, trade and exchange rate policies to study the overall impact of policy uncertainty.
2020, Journal of Asian Business and Economic Studies
Supplier selection is a significant phase of procurement. However, a little systematic research on supplier selection criteria in the textile and apparel industry has been conducted in Vietnam. The purpose of this study is to identify criteria that constitute to the supplier selection decision of purchasers. An integrated approach involving purposeful sampling and theoretical sampling is used. Qualitative data are collected via expert interviews from 20 companies ranging from spinning to textiles to garments as well as ancillary industries in both southern and northern Vietnam. The data are analyzed using NVIVO 8.0 software. We assume that exploring the extant supplier selection criteria used by Vietnamese textile and apparel companies will contribute to the literature concerning procurement in particular and supply chain management in general.