Littérature scientifique sur le sujet « Economic policy uncertainty. Volatility. Media »

Abstract We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence—including human readings of 12,000 newspaper articles—indicate that our index proxies for movements in policy-related economic uncertainty. Our U.S. index spikes near tight presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over fiscal policy. Using firm-level data, we find that policy uncertainty is associated with greater stock price volatility and reduced investment and employment in policy-sensitive sectors like defense, health care, finance, and infrastructure construction. At the macro level, innovations in policy uncertainty foreshadow declines in investment, output, and employment in the United States and, in a panel vector autoregressive setting, for 12 major economies. Extending our U.S. index back to 1900, EPU rose dramatically in the 1930s (from late 1931) and has drifted upward since the 1960s.

This paper proposes a framework for examining the interaction between stock market volatilities and economic uncertainty shocks, aiming to understand better the influence of economic uncertainty shocks on the Chinese stock market. The major empirical results include the followings. First, the economic policy uncertainty shocks push the Chinese stock volatility up, increasing the market risk. A 1-standard-deviation shock of economic policy uncertainty will enhance the stock volatility of the two composite indices by approximately 7% in 12 months. Second, the stock volatility reacted more intensely to fiscal and monetary economic policy uncertainty shocks, with a 1-standard-deviation shock that can enhance the stock volatility of the two composite indices by more than 10% in 12 months. Third, different stock indices exhibit different patterns of cumulative impulse responses, and the reaction of the volatility of the SSE real estate index to economic policy uncertainty shocks is more significantly intense than other indices. Besides, we have proved the robustness of empirical results by reestimating the models with a lag order of 2. Overall, our research results can provide policy and managerial insights for the sustainable development of the Chinese stock market and beyond.

Purpose The purpose of this paper is to study the evolution of monetary policy uncertainty and its impact on the South African economy. Design/methodology/approach The authors use a sign restricted SVAR with an endogenous feedback of stochastic volatility to evaluate the sign and size of uncertainty shocks. The authors use a nonlinear DSGE model to gain deeper insights about the transmission mechanism of monetary policy uncertainty. Findings The authors show that monetary policy volatility is high and constant. Both inflation and interest rates decline in response to uncertainty. Output rebounds quickly after a contemporaneous decrease. The DSGE model shows that the size of the uncertainty shock matters – high uncertainty can lead to a severe contraction in output, inflation and interest rates. Research limitations/implications The authors model only a few variables in the SVAR – thus missing perhaps other possible channels of shock transmission. Practical implications There is a lesson for monetary policy: monetary policy uncertainty, in isolation from general macroeconomic uncertainty, often creates unintended adverse consequences and can perpetuate a weak economic environment. The tasks of central bankers are incredibly difficult. Their models project output and inflation with relatively large uncertainty based on many shocks emanating from various sources. It matters how central bankers react to these expectations and how they communicate the underlying risks associated with setting interest rates. Originality/value This is the first study that looks into monetary policy uncertainty into South Africa using a stochastic volatility model and a nonlinear DSGE model. The results should be very useful for the Central Bank as it highlights how uncertainty, that they create, can have adverse economic consequences.

This paper examines both theoretically and empirically how RMB exchange rate volatility will be affected by China and US economic policy uncertainty. It finds that RMB exchange rate volatility increases when economic policy uncertainty increases in China and the US; Besides, market uncertainty has a significant positive impact on RMB exchange rate volatility. The findings of this paper can provide useful references for financial regulation and forecasting the role of policy.

Based on the background of continuous increasing external economic uncertainty, this paper builds GARCH-MIDAS model to explore the volatility of copper price caused by global economic policy uncertainty in copper supply chain finance and analyzes the changes of refined copper supply and demand caused by this volatility. It is found that the increases of economic policy uncertainty will enhance the long- term volatility of copper. Moreover, the violent fluctuation of copper price caused by the impact of powerful economic policy uncertainty will weaken the demand confidence of refined copper market and lead to the phenomenon of oversupply. On the contrary, the moderate fluctuation of copper price due to the impact of weak economic policy uncertainty will boost the demand confidence of refined copper market and lead to the phenomenon of short supply.

Intraday range (the difference between intraday high and low prices) is often used to measure volatility, which has proven to be a more efficient volatility estimator than the return-based one. Meanwhile, a growing body of studies has found that economic policy uncertainty (EPU) has important impact on stock market volatility. In this paper, building on the range-based volatility model, namely, the conditional autoregressive range (CARR) model, we introduce the CARR-mixed-data sampling (CARR-MIDAS) model framework by considering intraday information to investigate the impact of EPU on the volatility of Chinese stock market and to explore the predictive ability of EPU for Chinese stock market. The empirical results show that both the China EPU (CEPU) and global EPU (GEPU) have a significantly negative effect on the long-run volatility of Chinese stock market. Furthermore, we find that taking into account the CEPU and GEPU leads to substantial improvement in the ability to forecast the volatility of Chinese stock market. We also find that the CEPU provides superior volatility forecasts compared to the GEPU. Our findings are robust to different forecasting windows.

In this paper we investigate the causal role of the media in disseminating information among financial operators. For this scope we consider the coverage of economic policy uncertainty (EPU) by media outlets in the USA. As a proxy for this coverage we implement the daily news based economic policy uncertainty index introduced by Baker et al. (2016). This index builds on the number of articles about EPU - normalized by the total number of articles - coming from a large set of US newspapers ranging from national journals like USA Today to small local newspapers across the country. To identify exogenous swings in coverage of EPU, we exploit the crowding out effect of publishable stories brought about by newsworthy sport events. In particular, we show that the abovementioned index systematically goes down the same days of the Olympics, the Worlds Series and the NBA finals. We interpret this evidence as supportive of the idea that these important occasions lead newspapers to publish in proportion less news about EPU, regardless the policy uncertainty of the economy. Then, we use our instrument to evaluate the effects of variations in EPU coverage on the VIX, a popular measure for expected volatility of the US stock market. According to our results, an increase of the daily news based EPU index by one standard deviation leads to a positive variation of the VIX equal to 3.61 points on the same day. These results are in line with the theoretical framework presented by Pastor and Veronesi (2013), with the media playing a role in disseminating EPU news to investors.

Thesis (Ph. D.)--University of Missouri-Columbia, 2008.
The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on June 11, 2009) Vita. Includes bibliographical references.

This dissertation aims at understanding the impact of economic policy uncertainty on the stock and bond market returns of the group of seven. We test the hypothesis that higher uncertainty levels cause decreases on these financial assets returns. We analyse the impact that the economic policy uncertainty index and previous returns have on current returns and if an increase of economic policy uncertainty lead to an increase of conditional volatility. This research relies on the EPU Index, developed by Baker et al. (2016), and employs daily data averaged into monthly time series for G7 stock and bond markets, covering the period from January 2000 to December 2016. Concerning the stock market, we find evidence of a significant impact of EPU on current returns for most of the countries. Canada and Italy are the exceptions. Concerning conditional volatility, we report that the EPU has impact on United States (U.S.), United Kingdom (U.K.), Canada, Germany and Japan. EPU does not show significant results to France and Italy. In the bond market and in contrast with previous returns, EPU does not have a great impact on the current returns for most of the countries. In what concerns conditional volatility, the previous returns have no influence for the entire sample and EPU presents significant results for U.S., Canada, Germany, Italy and Japan.
Esta dissertação tem como objetivo compreender o impacto da incerteza económica nos retornos do mercado de ações e obrigações do grupo dos sete. Testamos a hipótese de que um maior nível de incerteza económica conduz à diminuição dos retornos destes ativos. Analisamos o impacto que o índice de incerteza económica e os retornos passados têm nos retornos atuais e se aumentos da incerteza económica se podem traduzir em aumentos da volatilidade condicional. Esta pesquisa recai sobre o índice EPU, desenvolvido por Baker et al. (2016), e compreende dados diários transformados em séries temporais mensais para os mercados de ações e obrigações do G7, entre Janeiro de 2000 e Dezembro de 2016. No que concerne ao mercado de ações, existe evidência de um impacto significativo da EPU nos retornos atuais, para a maioria países. Canadá e Itália são as excepções. Relativamente à volatilidade condicional, informamos que a EPU tem impacto nos Estados Unidos, Reino Unido, Canadá, Alemanha e Japão. A EPU não apresenta resultados significativos para França e Itália. No mercado das obrigações e ao contrário dos retornos passados, a EPU não apresenta impacto nos retornos atuais para a maioria dos países. No que respeita à volatilidade condicional, verifica-se que os retornos passados não têm influência nesta variável, ao contrário da EPU que apresenta valores significativos para os Estados Unidos, Canadá, Alemanha, Itália e Japão.

The concept of strategy has advanced significantly from when the emphasis fell on comprehensive, systematic and rational planning. However, many of the assumptions that were embedded in traditional strategy models were deemed to be inadequate and outdated as we approached a new competitive milieu (Maritz, 2010). Strategic Management is still a comparatively young field and the existing toolbox of concepts and techniques remains woefully inadequate (Grant, 2010). This reality should force a re-examination of the traditional strategy paradigms (Maritz, 2010). The literature review has confirmed the observations by Maritz (2010) and Grant (2010) that indeed current strategic management paradigms or approaches were inadequate for unique business environments obtaining in a developing country in Africa, such as Zimbabwe. The motivation for this research, therefore, was to identify and recommend strategic management approaches or paradigms applicable to banks operating in a turbulent and chaotic environment. Based on an extensive literature review, in-depth interviews were conducted with six commercial banks (three that survived the turbulence and three that failed) during the period under review. The study established that the banks that survived the turbulence had a different strategic management approach from the traditional designed ones. It was also noted in this study that in turbulent environments, strategy-making is birthed through an emergent process. When events are moving at an unprecedented speed, as was happening in Zimbabwe, the time intervals between obtaining information, analysing information, taking decisions and implementing those decisions need to be tightly compressed. The researcher coined this process Strategic Intensity (SI). On the other hand, diversification as a strategy was found to be very risky for businesses that did not have a strong foundation and that were lacking in the appreciation of the risk complexion of the businesses into which they were diversifying. This research makes a significant contribution by identifying and recommending Strategic Management approaches applicable to businesses operating in a turbulent and chaotic environment in developing markets such as Zimbabwe. Furthermore, this research also contributes towards the current debate in academic literature amongst practitioners of strategy, about how strategy is really made in organisations (Maritz, 2010). The debate centres around two opposing views: one associated with strategy-making as a formal, deliberate plan, and the other associated with strategies as evolving, ever-changing sets of outcomes that are eventually realised. Finally, the researcher proposes that further studies be conducted at the end of this study.
Business Management
DBL

This thesis brings new evidence on different strands of the literature in macro-finance, international economics and macroeconometrics. The first two chapters combine both theoretical models and empirical techniques to deepen the analysis of important economic phenomena such as the effects of economic policy uncertainty on financial markets, and convergence between emerging market economies and advanced economies on these markets. The third chapter of the thesis, which is co-authored with Hafedh Bouakez, contributes to the literature on the identification of news shocks about future productivity. In the first chapter, I study the effect of monetary and fiscal policy uncertainty on nominal U.S. government bond yields and premiums. I use a New-Keynesian Dynamic Stochastic General Equilibrium model featuring recursive preferences, and both real and nominal rigidities. Policy uncertainty in the DSGE model is defined as a mean-preserving spread of the policy shock distributions. My results show that: (i) When the economy is subject to unpredictable shocks to the volatility of policy instruments, the level of the median yield curve is lower, its slope increases and risk premiums decrease relative to an economy with no stochastic volatility. This negative effect on the level of yields and premiums is due to the asymmetric impact of positive versus negative shocks; (ii) A typical policy risk shock increases yields at all maturities. This is because the fall in yields triggered by higher demand for bonds by households, in order to hedge against higher predicted consumption volatility, is outweighed by the increase in yields due to higher inflation risk premiums. Finally, I use several empirical measures economic policy uncertainty in a structural VAR model to show that the above effects of policy risk shocks on yields are consistent empirical evidence. Chapter 2 looks at the market for government bonds in 12 advanced economies and 8 emerging market economies, during the period 1999-2012, and consider the question of whether or not there has been any convergence of risk between emerging market and advanced economies. I distinguish between default risk and other types of risk, such as inflation, liquidity and exchange rate risk. I make the theoretical case that forward risk premium differentials can be used to distinguish default risk and other risks. I then construct forward risk premium differentials and use these to make the empirical case that there has been little convergence associated with the other types of risk. I also show that differences in countries' macroeconomic fundamentals and political risk play an important role in explaining the large "non-default" risk differentials observed between emerging and advanced economies. Chapter 3 proposes a novel strategy to identify anticipated and unanticipated technology shocks, which leads to results that are consistent with the predictions of conventional new-Keynesian models. It shows that the failure of many empirical studies to generate consistent responses to these shocks is due to impurities in the available TFP series, which lead to an incorrect identification of unanticipated technology shocks---whose estimated effects are inconsistent with the interpretation of these disturbances as supply shocks. This, in turn, contaminates the identification of news shocks. My co-author, Hafedh Bouakez, and I propose an agnostic identification strategy that allows TFP to be affected by both technological and non-technological shocks, and identifies unanticipated technology shocks via sign restrictions on the response of inflation. The results show that the effects of both surprise TFP shocks and news shocks are generally consistent with the predictions of standard new-Keynesian models. In particular, the inflation puzzle documented in previous studies vanishes under the novel empirical strategy.
Cette thèse présente de nouveaux résultats sur différentes branches de la littérature en macro-finance, économie internationale et macro-économétrie. Les deux premiers chapitres combinent des modèles théoriques et des techniques empiriques pour approfondir l’étude de phénomènes économiques importants tels que les effets de l’incertitude liée aux politiques économiques sur les marchés financiers et la convergence entre les pays émergents et les pays avancés sur ces marchés. Le troisième chapitre, qui est le fruit d’une collaboration avec Hafedh Bouakez, contribue à la littérature sur l’identification des chocs anticipés sur la productivité future. Dans le premier chapitre, j’étudie l’effet de l’incertitude relative aux politiques monétaire et fiscale sur les rendements et les primes de risque associés aux actifs nominaux du gouvernement des États-Unis. J’utilise un modèle d’équilibre stochastique et dynamique de type néo-Keynesien prenant en compte des préférences récursives des agents et des rigidités réelles et nominales. En utilisant un modèle VAR structurel. L’incertitude relative aux politiques économiques est définie comme étant une expansion de la distribution des chocs de politique, expansion au cours de laquelle la moyenne de la distribution reste inchangée. Mes résultats montrent que : (i) Lorsque l’économie est sujette à des chocs imprévisibles sur la volatilité des instruments de politique, le niveau médian de la courbe des rendements baisse de 8,56 points de base, sa pente s’accroît de 13,5 points de base et les primes de risque baissent en moyenne de 0.21 point de base. Cet effet négatif sur le niveau de rendements et les primes de risque est dû à l’impact asymétrique des chocs de signes opposés mais de même amplitude; (ii) Un choc positif à la volatilité des politiques économiques entraîne une hausse des rendements pour toutes les durées de maturité. Cet effet s’explique par le comportement des ménages qui, à la suite du choc, augmentent leur demande de bons dans le but de se prémunir contre les fortes fluctuations espérées au niveau de la consommation, ce qui entraîne des pressions à la baisse sur les rendements. De façon simultanée, ces ménages requièrent une hausse des taux d’intérêt en raison d’une espérance d’inflation future plus grande. Les analyses montrent que le premier effet est dominant, entraînant donc la hausse des rendements observée. Enfin, j’utilise plusieurs mesures empiriques d’incertitude de politiques économiques et un modèle VAR structurel pour montrer les résultats ci-dessus sont conformes avec les faits empiriques. Le Chapitre 2 explore le marché des bons du gouvernement de 12 pays avancés et 8 pays émergents, pendant la période 1999-2012, et analyses la question de savoir s’il y a eu une quelconque convergence du risque associé à ces actifs entre les deux catégories de pays. Je fais une distinction entre risque de défaut et autres types de risque, comme ceux liés au risque d’inflation, de liquidité ou de change. Je commence par montrer théoriquement que le différentiel au niveau des primes de risque « forward » entre les deux pays peut être utilisé pour faire la distinction entre le risque « forward » et les utilise pour montrer qu’il est difficile de conclure que ces autres types de risque dans les pays émergents ont convergé vers les niveaux différents de risque politique, jouent un rôle important dans l’explication des différences de primes de risque – autres que celles associées au risque de défaut– entre les pays émergents et les pays avancés. Le Chapitre 3 propose une nouvelle stratégie d’identification des chocs technologiques anticipés et non-anticipés, qui conduit à des résultats similaires aux prédictions des modèles néo-Keynésiens conventionnels. Il montre que l’incapacité de plusieurs méthodes empiriques à générer des résultats rejoignant la théorie est due à l’impureté des données existences sur la productivité totale des facteurs (TFP), conduisant à mauvaise identification des chocs technologiques non-anticipés-dont les effets estimés ne concordent pas avec l’interprétation de tels chocs comme des chocs d’offre. Ce problème, à son tour, contamine l’identification des chocs technologiques anticipés. Mon co-auteur, Hafedh Bouakez, et moi proposons une stratégie d’identification agnostique qui permet à la TFP d’être affectée de façon contemporaine par deux chocs surprises (technologique et non technologique), le premier étant identifié en faisant recours aux restrictions de signe sur la réponse de l’inflation. Les résultats montrent que les effets des chocs technologiques anticipés et non-anticipés concordent avec les prédictions des modèles néo-Keynésiens standards. En particulier, le puzzle rencontré dans les travaux précédents concernant les effets d’un choc non-anticipé sur l’inflation disparaît lorsque notre nouvelle stratégie est employée.

Youth Prospects in the Digital Society In an age when the next generation have worse prospects than their parents, this book appraises the challenges that young people face resulting from the instability and uncertainty of their lives. Based on young people’s experience of education, training, employment, family life and political participation in England and Germany, the book examines the impact of digitalisation on identity in the context of rising inequality. The focus is on the effects of technological transformation, fragile European Union institutions, growing nationalism and mental and economic stress arising from the Covid-19 pandemic on youth transitions and the ever-present shadow of climate change. Such an uncertain context presents systemic challenge for the forms and effectiveness of youth policy in the different national contexts as addressed in each of the chapters that follows. Youth policy is shaped by such key issues as the future of vocational education and training in the digital society, job creation, family, political engagement and community life, the impact of social media and universal connectivity. The book argues that government should be under an obligation to ensure that every young person has access to the technical, economic, and educational resources needed to shape their personal transition to adulthood and acquire the capability needed to participate fully in the digital society.

VUCA describes today's chaotic, turbulent, and rapidly changing education environment, which is the new educational normal. VUCA; volatility, uncertainty, complexity, ambiguity, terms coined for the military world also describes today's education world. As a result, educational leaders face the uncertainty of workforce reductions and budget cuts affecting the process of increasing student performance. In addition, rapid changes in technology are constant and ambiguity reigns as mandates for change increase In today's education world VUCA, the chaotic “new normal” is real. The financial crisis of 2008-2009, for example, rendered many businesses obsolete, and organizations throughout the world were plunged into turbulent economic environments. At the same time, rapid changes marched forward as technological developments like social media exploded, the world's population continued to simultaneously grow and age, and global disasters disrupted lives, economies, and businesses. In the new normal, higher education institutions are caught in a critically demanding and increasing unknown present and future characterized by volatility, uncertainty, complexity and ambiguity.

This chapter presents empirical evidence showing the impact of economic uncertainty and monetary policy on the volatility of commodity futures markets. The findings are in line with those of the relevant literature according to which rising uncertainty predicts rising volatility in commodity markets. The author shows that the unobservable economic uncertainty measures of Jurado et al. (2015) have a significant and long-lasting positive impact on the volatility of commodity prices. Hence, the OLS regression results show that commodity markets are significantly affected by the rising degree of unpredictability in the macroeconomy, while they are relatively immune to observable macroeconomic fluctuations. The expansionary monetary policy is followed by rising volatility in agricultural and energy markets, while it has much smaller effect on the volatility of metals markets. Financialization in commodity markets has increased the dynamic linkages between monetary policy shocks and commodity price volatility.

This chapter presents empirical evidence showing the impact of economic uncertainty and monetary policy on the volatility of commodity futures markets. The findings are in line with those of the relevant literature according to which rising uncertainty predicts rising volatility in commodity markets. The author shows that the unobservable economic uncertainty measures of Jurado et al. (2015) have a significant and long-lasting positive impact on the volatility of commodity prices. Hence, the OLS regression results show that commodity markets are significantly affected by the rising degree of unpredictability in the macroeconomy, while they are relatively immune to observable macroeconomic fluctuations. The expansionary monetary policy is followed by rising volatility in agricultural and energy markets, while it has much smaller effect on the volatility of metals markets. Financialization in commodity markets has increased the dynamic linkages between monetary policy shocks and commodity price volatility.

Vector-borne diseases pose a major public health threat. Combined, these diseases contribute significantly to illness and mortality worldwide and have an adverse impact on development and economic growth of nations. Public health stakeholders seeking to control and prevent these diseases are confronted with a myriad of challenges. Some of these difficulties are related to the nature of the data, the uncertainty of disease dynamics, and volatility of human-environment interactions. Visualization tools are capable of ameliorating some of these challenges. In this paper, the authors demonstrate how interactive visualizations can support stakeholders' decision-making tasks. In particular, they present a visualization tool they created that can support control efforts related to the recent Zika outbreak in Brazil.

This chapter analyzes the economic impact of COVID-19 on the tourism sector in Turkey. Stock markets are a barometer for the economy and reflect the pandemic's direct financial impact on tourism companies. The BIST Tourism Index return volatility during 2020 is modelled considering the effects of global economic policy uncertainty, economic sentiment, daily new cases, and Turkey's containment and health index. The index return volatility is high during the pandemic. The results show a statistically significant interrelation between economic sentiment, new cases, and containment and health index, and the BIST Tourism index return volatility. Policies that slow down the virus spread and fiscal support may improve consumer and investor sentiment. The revival of confidence would strengthen the financial markets and decrease volatility.

This chapter demonstrates that in every country, policy research organizations began to converge on similar dissemination practices, such as use of the Internet and new media, by which they channeled their analysis and recommendations to policymakers and others—practices that tended to resemble those of American advocacy organizations. Both trends were evident within and across knowledge regimes. However, convergence was extremely uneven and partial because there were significant obstacles to the wholesale diffusion of these practices across countries and organizations. As a result, although each knowledge regime underwent significant change, national differences persisted in how each one was organized and operated. In short, the chapter found patterns of only limited convergence that were at odds with what many organizational and economic sociologists and others would have expected, especially during times of great uncertainty like the end of the Golden Age and the rise of globalization.

In recent years, with the global warming, distributed photovoltaic and energy storage have developed rapidly under the background of carbon peak and carbon neutralization. Photovoltaic can be added to the microgrid as a distributed energy, but the volatility and randomness of photovoltaic itself will reduce the stability of the entire electric system, and even affect the operation of the microgrid. The introduction of energy storage media brings a new chapter to improve the stability of power system, improving the income of microgrid, and reducing the volatility caused by photovoltaic power generation. With the gradual implementation of the real-time electricity price policy, the use of energy storage system to obtain economic benefits will be an economic direction of the future micro grid. Therefore, based on the analysis of the operation principle of photovoltaic and energy storage, this paper uses MATLAB to establish the simulation control model of photovoltaic and storage DC bus grid-connected, and verifies the rationality of photovoltaic and storage grid-connected. Secondly, the multi-objective mathematical modeling was carried out by minimizing the total cost, pollutant emission and energy storage utilization of microgrid. Finally, an improved multi-objective PSO algorithm is proposed, which combines the fast optimization ability of particle swarm optimization algorithm with the strong global search ability of artificial fish swarm algorithm, optimizes the economic operation of photovoltaic storage microgrid, and improves the solution performance of the algorithm.

High fluctuation of exchange rate in short horizon is obviously making economic activity more risky as uncertainty rises. Moreover, volatile exchange rates also make commodity prices, interest rates and a host of other variables more volatile as well. Although changes in long-run exchange rates tend to undergo relatively gradual shifts, in the shorter horizon, the exchange rate might be very volatile. Then there should be a systematic and measured policy to mitigate the foreign exchange fluctuations and to minimize the fluctuations as well as to drive it to its fundamental value. In this part, USD/IDR volatility is investigated using GARCH approach. The results reveal that, USD/IDR volatility in Indonesia is persistent. On the other hand, the following studies also present the outcomes of effectiveness of policy response by the Central Bank. Foreign-exchange sale interventions by the Central Bank lead conditional volatility of the USD/IDR to decrease slightly.

Tourism sector, like most of the other countries of the world, has also gained importance in Turkey in last few decades. Global tourist flows and tourism income have a steady increase. Hence, as an effective tool for sustainable economic development and welfare, importance of tourism sector is rising. Tourism is a considerable source of an additional income, exchange, employment and tax revenue for most countries. Turkey is one of the prominent tourism destinations for the world tourist flows. Turkish tourism industry began to grow in 1980s with the incentive macroeconomic policies. The industry has been growing in terms of international tourist arrivals and tourism receipts despite some discouraging events, such as economics crisis in the source countries, changing concerns, political incidents etc. For a sustainably growing and productive tourism sector it is essential to reduce the volatility in tourist arrivals. A less volatile tourist inflow may help to policy and decision makers. So, understanding the volatility of demand can reduce the uncertainty and help to develop appropriate policies. This paper aims to conduct such an analysis for Turkey’s inbound tourist flow, using the monthly data for 1996-2011 period. Exploiting alternative modeling techniques to measure and investigate the volatility in international tourist arrivals, the study concluded that the volatility of tourist arrivals to Turkey is asymmetric: positive shocks have a differential impact on future volatility than negative shocks.

Abstract The Petroleum Working Group (PWG) of the United Nations Economic Commission for Europe (UNECE) has developed the Petroleum Resource Specifications and Guidelines (PRSG) to facilitate the application of the United Nations Framework Classification for Resources (UNFC) for evaluating and classifying petroleum projects. The UNFC was developed by the Expert Group on Resource Management (EGRM) and covers all resource sectors such as minerals, petroleum, renewable energy, nuclear resources, injection projects, anthropogenic resources and groundwater. It has a unique three- dimensional structure to describe environmental, social and economic viability (E-axis), technical feasibility and maturity (F-axis) and degree of confidence in the resource estimates (G-axis). The UNFC is fully aligned to holistic and sustainable resource management called for by the 2030 Agenda for Sustainable Development (2030 Agenda). UNFC can be used by governments for integrated energy planning, companies for developing business models and the investors in decision making. Internationally, all classification systems and their application continue to evolve to incorporate the latest technical understanding and usage and societal, government and regulatory expectations. The PRSG incorporates key elements from current global petroleum classification systems. Furthermore, it provides a forward-thinking approach to including aspects of integrity and ethics. It expands on the unique differentiator of the UNFC to integrate social and environmental issues in the project evaluation. Several case studies have been carried out (in China, Kuwait, Mexico, Russia, and Uganda) using UNFC. Specifically, PRSG assists in identifying critical social and environmental issues to support their resolution and development sustainably. These issues may be unique to the country, location and projects and mapped using a risk matrix. This may support the development of a road map to resolve potential impediments to project sanction. The release of the PRSG comes at a time of global economic volatility on a national and international level due to the ongoing impact and management of COVID-19, petroleum supply and demand uncertainty and competing national and international interests. Sustainable energy is not only required for industries but for all other social development. It is essential for private sector development, productive capacity building and expansion of trade. It has strong linkages to climate action, health, education, water, food security and woman empowerment. Moreover, enduring complex system considerations in balancing the energy trilemma of reliable supply, affordability, equity, and social and environmental responsibility remain. These overarching conditions make it even more essential to ensure projects are evaluated in a competent, ethical and transparent manner. While considering all the risks, it is also critical to reinforce the positive contribution a natural resource utilization project provides to society. Such an inquiry can focus on how the project contributes to the quality of life, environment, and the economy – the people, planet, and prosperity triad. Such an approach allows consistent, robust and sustainable investment decision making and energy policy development.

Macroeconomic summary Several factors contributed to an increase in projected inflation on the forecast horizon, keeping it above the target rate. These included inflation in December that surpassed expectations (5.62%), indexation to higher inflation rates for various baskets in the consumer price index (CPI), a significant real increase in the legal minimum wage, persistent external and domestic inflationary supply shocks, and heightened exchange rate pressures. The CPI for foods was affected by the persistence of external and domestic supply shocks and was the most significant contributor to unexpectedly high inflation in the fourth quarter. Price adjustments for fuels and certain utilities can explain the acceleration in inflation for regulated items, which was more significant than anticipated. Prices in the CPI for goods excluding food and regulated items also rose more than expected. This was partly due to a smaller effect on prices from the national government’s VAT-free day than anticipated by the technical staff and more persistent external pressures, including via peso depreciation. By contrast, the CPI for services excluding food and regulated items accelerated less than expected, partly reflecting strong competition in the communications sector. This was the only major CPI basket for which prices increased below the target inflation rate. The technical staff revised its inflation forecast upward in response to certain external shocks (prices, costs, and depreciation) and domestic shocks (e.g., on meat products) that were stronger and more persistent than anticipated in the previous report. Observed inflation and a real increase in the legal minimum wage also exceeded expectations, which would boost inflation by affecting price indexation, labor costs, and inflation expectations. The technical staff now expects year-end headline inflation of 4.3% in 2022 and 3.4% in 2023; core inflation is projected to be 4.5% and 3.6%, respectively. These forecasts consider the lapse of certain price relief measures associated with the COVID-19 health emergency, which would contribute to temporarily keeping inflation above the target on the forecast horizon. It is important to note that these estimates continue to contain a significant degree of uncertainty, mainly related to the development of external and domestic supply shocks and their ultimate effects on prices. Other contributing factors include high price volatility and measurement uncertainty related to the extension of Colombia’s health emergency and tax relief measures (such as the VAT-free days) associated with the Social Investment Law (Ley de Inversión Social). The as-yet uncertain magnitude of the effects of a recent real increase in the legal minimum wage (that was high by historical standards) and high observed and expected inflation, are additional factors weighing on the overall uncertainty of the estimates in this report. The size of excess productive capacity remaining in the economy and the degree to which it is closing are also uncertain, as the evolution of the pandemic continues to represent a significant forecast risk. margin, could be less dynamic than expected. And the normalization of monetary policy in the United States could come more quickly than projected in this report, which could negatively affect international financing costs. Finally, there remains a significant degree of uncertainty related to the duration of supply chocks and the degree to which macroeconomic and political conditions could negatively affect the recovery in investment. The technical staff revised its GDP growth projection for 2022 from 4.7% to 4.3% (Graph 1.3). This revision accounts for the likelihood that a larger portion of the recent positive dynamic in private consumption would be transitory than previously expected. This estimate also contemplates less dynamic investment behavior than forecast in the previous report amid less favorable financial conditions and a highly uncertain investment environment. Third-quarter GDP growth (12.9%), which was similar to projections from the October report, and the fourth-quarter growth forecast (8.7%) reflect a positive consumption trend, which has been revised upward. This dynamic has been driven by both public and private spending. Investment growth, meanwhile, has been weaker than forecast. Available fourth-quarter data suggest that consumption spending for the period would have exceeded estimates from October, thanks to three consecutive months that included VAT-free days, a relatively low COVID-19 caseload, and mobility indicators similar to their pre-pandemic levels. By contrast, the most recently available figures on new housing developments and machinery and equipment imports suggest that investment, while continuing to rise, is growing at a slower rate than anticipated in the previous report. The trade deficit is expected to have widened, as imports would have grown at a high level and outpaced exports. Given the above, the technical staff now expects fourth-quarter economic growth of 8.7%, with overall growth for 2021 of 9.9%. Several factors should continue to contribute to output recovery in 2022, though some of these may be less significant than previously forecast. International financial conditions are expected to be less favorable, though external demand should continue to recover and terms of trade continue to increase amid higher projected oil prices. Lower unemployment rates and subsequent positive effects on household income, despite increased inflation, would also boost output recovery, as would progress in the national vaccination campaign. The technical staff expects that the conditions that have favored recent high levels of consumption would be, in large part, transitory. Consumption spending is expected to grow at a slower rate in 2022. Gross fixed capital formation (GFCF) would continue to recover, approaching its pre-pandemic level, though at a slower rate than anticipated in the previous report. This would be due to lower observed GFCF levels and the potential impact of political and fiscal uncertainty. Meanwhile, the policy interest rate would be less expansionary as the process of monetary policy normalization continues. Given the above, growth in 2022 is forecast to decelerate to 4.3% (previously 4.7%). In 2023, that figure (3.1%) is projected to converge to levels closer to the potential growth rate. In this case, excess productive capacity would be expected to tighten at a similar rate as projected in the previous report. The trade deficit would tighten more than previously projected on the forecast horizon, due to expectations of an improved export dynamic and moderation in imports. The growth forecast for 2022 considers a low basis of comparison from the first half of 2021. However, there remain significant downside risks to this forecast. The current projection does not, for example, account for any additional effects on economic activity resulting from further waves of COVID-19. High private consumption levels, which have already surpassed pre-pandemic levels by a large margin, could be less dynamic than expected. And the normalization of monetary policy in the United States could come more quickly than projected in this report, which could negatively affect international financing costs. Finally, there remains a significant degree of uncertainty related to the duration of supply chocks and the degree to which macroeconomic and political conditions could negatively affect the recovery in investment. External demand for Colombian goods and services should continue to recover amid significant global inflation pressures, high oil prices, and less favorable international financial conditions than those estimated in October. Economic activity among Colombia’s major trade partners recovered in 2021 amid countries reopening and ample international liquidity. However, that growth has been somewhat restricted by global supply chain disruptions and new outbreaks of COVID-19. The technical staff has revised its growth forecast for Colombia’s main trade partners from 6.3% to 6.9% for 2021, and from 3.4% to 3.3% for 2022; trade partner economies are expected to grow 2.6% in 2023. Colombia’s annual terms of trade increased in 2021, largely on higher oil, coffee, and coal prices. This improvement came despite increased prices for goods and services imports. The expected oil price trajectory has been revised upward, partly to supply restrictions and lagging investment in the sector that would offset reduced growth forecasts in some major economies. Elevated freight and raw materials costs and supply chain disruptions continue to affect global goods production, and have led to increases in global prices. Coupled with the recovery in global demand, this has put upward pressure on external inflation. Several emerging market economies have continued to normalize monetary policy in this context. Meanwhile, in the United States, the Federal Reserve has anticipated an end to its asset buying program. U.S. inflation in December (7.0%) was again surprisingly high and market average inflation forecasts for 2022 have increased. The Fed is expected to increase its policy rate during the first quarter of 2022, with quarterly increases anticipated over the rest of the year. For its part, Colombia’s sovereign risk premium has increased and is forecast to remain on a higher path, to levels above the 15-year-average, on the forecast horizon. This would be partly due to the effects of a less expansionary monetary policy in the United States and the accumulation of macroeconomic imbalances in Colombia. Given the above, international financial conditions are projected to be less favorable than anticipated in the October report. The increase in Colombia’s external financing costs could be more significant if upward pressures on inflation in the United States persist and monetary policy is normalized more quickly than contemplated in this report. As detailed in Section 2.3, uncertainty surrounding international financial conditions continues to be unusually high. Along with other considerations, recent concerns over the potential effects of new COVID-19 variants, the persistence of global supply chain disruptions, energy crises in certain countries, growing geopolitical tensions, and a more significant deceleration in China are all factors underlying this uncertainty. The changing macroeconomic environment toward greater inflation and unanchoring risks on inflation expectations imply a reduction in the space available for monetary policy stimulus. Recovery in domestic demand and a reduction in excess productive capacity have come in line with the technical staff’s expectations from the October report. Some upside risks to inflation have materialized, while medium-term inflation expectations have increased and are above the 3% target. Monetary policy remains expansionary. Significant global inflationary pressures and the unexpected increase in the CPI in December point to more persistent effects from recent supply shocks. Core inflation is trending upward, but remains below the 3% target. Headline and core inflation projections have increased on the forecast horizon and are above the target rate through the end of 2023. Meanwhile, the expected dynamism of domestic demand would be in line with low levels of excess productive capacity. An accumulation of macroeconomic imbalances in Colombia and the increased likelihood of a faster normalization of monetary policy in the United States would put upward pressure on sovereign risk perceptions in a more persistent manner, with implications for the exchange rate and the natural rate of interest. Persistent disruptions to international supply chains, a high real increase in the legal minimum wage, and the indexation of various baskets in the CPI to higher inflation rates could affect price expectations and push inflation above the target more persistently. These factors suggest that the space to maintain monetary stimulus has continued to diminish, though monetary policy remains expansionary. 1.2 Monetary policy decision Banco de la República’s board of directors (BDBR) in its meetings in December 2021 and January 2022 voted to continue normalizing monetary policy. The BDBR voted by a majority in these two meetings to increase the benchmark interest rate by 50 and 100 basis points, respectively, bringing the policy rate to 4.0%.

The Colombian financial system has not suffered major structural disruptions during these months of deep economic contraction and has continued to carry out its basic functions as usual, thus facilitating the economy's response to extreme conditions. This is the result of the soundness of financial institutions at the beginning of the crisis, which was reflected in high liquidity and capital adequacy indicators as well as in the timely response of various authorities. Banco de la República lowered its policy interest rates 250 points to 1.75%, the lowest level since the creation of the new independent bank in 1991, and provided ample temporary and permanent liquidity in both pesos and foreign currency. The Office of the Financial Superintendent of Colombia, in turn, adopted prudential measures to facilitate changes in the conditions for loans in effect and temporary rules for rating and loan-loss provisions. Finally, the national government expanded the transfers as well as the guaranteed credit programs for the economy. The supply of real credit (i.e. discounting inflation) in the economy is 4% higher today than it was 12 months ago with especially marked growth in the housing (5.6%) and commercial (4.7%) loan portfolios (2.3% in consumer and -0.1% in microloans), but there have been significant changes over time. During the first few months of the quarantine, firms increased their demands for liquidity sharply while consumers reduced theirs. Since then, the growth of credit to firms has tended to slow down, while consumer and housing credit has grown. The financial system has responded satisfactorily to the changes in the respective demands of each group or sector and loans may grow at high rates in 2021 if GDP grows at rates close to 4.6% as the technical staff at the Bank expects; but the forecasts are highly uncertain. After the strict quarantine implemented by authorities in Colombia, the turmoil seen in March and early April, which was evident in the sudden reddening of macroeconomic variables on the risk heatmap in Graph A,[1] and the drop in crude oil and coal prices (note the high volatility registered in market risk for the region on Graph A) the local financial markets stabilized relatively quickly. Banco de la República’s credible and sustained policy response played a decisive role in this stabilization in terms of liquidity provision through a sharp expansion of repo operations (and changes in amounts, terms, counterparties, and eligible instruments), the purchases of public and private debt, and the reduction in bank reserve requirements. In this respect, there is now abundant aggregate liquidity and significant improvements in the liquidity position of investment funds. In this context, the main vulnerability factor for financial stability in the short term is still the high degree of uncertainty surrounding loan quality. First, the future trajectory of the number of people infected and deceased by the virus and the possible need for additional health measures is uncertain. For that reason, there is also uncertainty about the path for economic recovery in the short and medium term. Second, the degree to which the current shock will be reflected in loan quality once the risk materializes in banks’ financial statements is uncertain. For the time being, the credit risk heatmap (Graph B) indicates that non-performing and risky loans have not shown major deterioration, but past experience indicates that periods of sharp economic slowdown eventually tend to coincide with rises in non-performing loans: the calculations included in this report suggest that the impact of the recession on credit quality could be significant in the short term. This is particularly worrying since the profitability of credit establishments has been declining in recent months, and this could affect their ability to provide credit to the real sector of the economy. In order to adopt a forward-looking approach to this vulnerability, this Report presents several stress tests that evaluate the resilience of the liquidity and capital adequacy of credit institutions and investment funds in the event of a hypothetical scenario that seeks to simulate an extreme version of current macroeconomic conditions. The results suggest that even though there could be strong impacts on the credit institutions’ volume of credit and profitability under such scenarios, aggregate indicators of total and core capital adequacy will probably remain at levels that are above the regulatory limits over the horizon of a year. At the same time, the exercises highlight the high capacity of the system's liquidity to face adverse scenarios. In compliance with its constitutional objectives and in coordination with the financial system's security network, Banco de la República will continue to closely monitor the outlook for financial stability at this juncture and will make the decisions that are necessary to ensure the proper functioning of the economy, facilitate the flow of sufficient credit and liquidity resources, and further the smooth operation of the payment systems. Juan José Echavarría Governor