This survey features three parts. The first one reviews the most recent literature on the
relationship between domestic (ie, country‐specific) uncertainty and the business cycle, and …

This paper examines the role of economic policy uncertainty (EPU) on stock market returns
for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel …

We examine the relationship between oil prices and economic policy uncertainty in G7
countries. To do so, we employ a nonparametric panel data technique that allows the trend …

We analyze the evolution of macroeconomic uncertainty in the United States, based on the
forecast errors of consensus survey forecasts of various economic indicators …

In this paper, we study the impact of sudden rises in global financial uncertainty on small
open economies. To this end, we extract a global factor from the realised volatilities of about …

This paper analyzes whether we can predict stock return and its volatility of Hong Kong,
Malaysia and South Korea based on measures of domestic and global (China, the …

This paper uses continuous and discrete wavelet tools to evaluate the dynamic correlation
and causality between the US economic policy uncertainty (EPU) and stock markets in …

This paper analyses the role of a news-based measure of economic policy uncertainty
(EPU) in explaining time-varying co-movements in economic activity and volatility of 48 US …

We develop a dynamic factor model with time-varying parameters and stochastic volatility,
estimate it using a large panel of macroeconomic and financial data for 22 countries and …

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor
framework that jointly models global, regional, and country‐specific factors. We quantify the …