Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F25%3A10257980" target="_blank" >RIV/61989100:27510/25:10257980 - isvavai.cz</a>

Výsledek na webu

<a href="http://doi.org/10.47260/bae/1225a" target="_blank" >http://doi.org/10.47260/bae/1225a</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.47260/bae/1225a" target="_blank" >10.47260/bae/1225a</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S.

Popis výsledku v původním jazyce

This study investigates the effects of economic policy and financial uncertainty on equity return volatility across major U.S. sectoral indices. Specifically, it examines the relationships between uncertainty indices and the S&amp;P 500 financials sector index (SPF), the Wilshire U.S. Real Estate Investment Trust Total Market Index (WRE), and the iShares U.S. Consumer Staples ETF (IYK). The analysis employs GARCH-MIDAS methodology, Markov Switching Regressions (MSR), Threshold Regressions, and Granger causality tests. Results from the sectoral analysis indicate varying degrees of sensitivity to uncertainty across sectors. The consumer staples sector exhibits consistently high volatility, largely driven by shifts in consumer sentiment, income dynamics, and inflation expectations. Over the long term, global economic policy uncertainty (GEPU) and recession risk further amplify volatility in this sector, reflecting its deep integration into global supply chains. The real estate sector demonstrates a more conditional response; its volatility increases significantly in the presence of economic policy uncertainty (EPU), but primarily during periods of elevated recession risk. Under stable economic conditions, real estate equities appear relatively insensitive to both inflation expectations and GEPU. In contrast, the financial sector displays both short- and long-term strong and persistent sensitivity to indicators, particularly EPU, inflation expectations, and the VIX.

Název v anglickém jazyce

Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S.

Popis výsledku anglicky

This study investigates the effects of economic policy and financial uncertainty on equity return volatility across major U.S. sectoral indices. Specifically, it examines the relationships between uncertainty indices and the S&amp;P 500 financials sector index (SPF), the Wilshire U.S. Real Estate Investment Trust Total Market Index (WRE), and the iShares U.S. Consumer Staples ETF (IYK). The analysis employs GARCH-MIDAS methodology, Markov Switching Regressions (MSR), Threshold Regressions, and Granger causality tests. Results from the sectoral analysis indicate varying degrees of sensitivity to uncertainty across sectors. The consumer staples sector exhibits consistently high volatility, largely driven by shifts in consumer sentiment, income dynamics, and inflation expectations. Over the long term, global economic policy uncertainty (GEPU) and recession risk further amplify volatility in this sector, reflecting its deep integration into global supply chains. The real estate sector demonstrates a more conditional response; its volatility increases significantly in the presence of economic policy uncertainty (EPU), but primarily during periods of elevated recession risk. Under stable economic conditions, real estate equities appear relatively insensitive to both inflation expectations and GEPU. In contrast, the financial sector displays both short- and long-term strong and persistent sensitivity to indicators, particularly EPU, inflation expectations, and the VIX.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Bulletin of Applied Economics

ISSN

2056-3728

e-ISSN

2056-3736

Svazek periodika

12

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NZ - Nový Zéland

Počet stran výsledku

34

Strana od-do

77-110

Kód UT WoS článku

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EID výsledku v databázi Scopus

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