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- Title
Decomposing the Effect of Domestic and Foreign Economic Policy Uncertainty Shocks on Real and Financial Sectors: Evidence from BRIC Countries.
- Authors
Kumar, Ameet; Kalhoro, Muhammad Ramzan; Kumar, Rakesh; Ghumro, Niaz Hussain; Dakhan, Sarfraz Ahmed; Kumar, Vikesh
- Abstract
This study examines the impact of domestic and foreign shocks on the real and financial sector of BRIC countries. For this purpose, we use a structural vector autoregressive (SVAR) model over the extended period of 1997 to 2016. We conclude that domestic policy shocks have a more substantial impact on Brazilian, Indian, and Russian economy than foreign shocks, while foreign shocks have more contribution in the case of China. Interestingly, results show the negative impact of policy shocks on bank credit provided, implying its role in multiplying the impact of shocks on real variables. Surprisingly EPU of USA has a positive impact on stock markets of India and China, implying capital flight phenomenon, where investor transfer investment from risky to safer places.
- Subjects
CHINA; INDIA; ECONOMIC policy; CAPITAL movements; INTERNATIONAL economic relations; UNCERTAINTY; STOCK exchanges
- Publication
Journal of Risk & Financial Management, 2020, Vol 13, Issue 12, p1
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm13120315