Generalized market uncertainty measurement in european stock markets in real time

We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in th...

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Authors: Uribe Gil, Jorge Mario, Guillen, Montserrat
Format: article
Status:Published version
Publication Date:2020
Country:España
Institution:Universitat Oberta de Catalunya (UOC)
Repository:O2, repositorio institucional de la UOC
OAI Identifier:oai:openaccess.uoc.edu:10609/128706
Online Access:https://hdl.handle.net/10609/128706
Access Level:Open access
Keyword:generalized uncertainty
coronavirus
Covid-19
market ambiguity
incertesa generalitzada
ambigüitat del mercat
incertidumbre generalizada
ambigüedad del mercado
Market surveys
Mercat -- Anàlisi
Mercado -- Análisis
id ES_b26887fc2df4069ec18bdbb3f9ff0171
oai_identifier_str oai:openaccess.uoc.edu:10609/128706
network_acronym_str ES
network_name_str España
repository_id_str
spelling Generalized market uncertainty measurement in european stock markets in real timeUribe Gil, Jorge MarioGuillen, Montserratgeneralized uncertaintycoronavirusCovid-19market ambiguityincertesa generalitzadaambigüitat del mercatcoronavirusCovid-19incertidumbre generalizadaambigüedad del mercadocoronavirusCovid-19Market surveysMercat -- AnàlisiMercado -- AnálisisWe estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in the aggregate, and provide readily and easily interpretable estimates, in real time, which are relevant for market participants and regulators. We show that generalized uncertainty in Europe was, indeed, at historically high levels in the wake of the recent public health crisis before the large interventions by the European Central Bank, the Fed, and the Bank of England, but also that, for some markets, recently recorded uncertainty levels were still lower than those recorded during the Global Financial Crisis, which puts things into perspective. We also show that uncertainty shocks are extremely persistent, but such persistence varies greatly across countries. The period needed for the markets to absorb half of the shock lies between less than a year and two and a half years.MathematicsUniversitat de Barcelona (UB)Universitat Oberta de Catalunya (UOC)202120212020info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/10609/128706reponame:O2, repositorio institucional de la UOCinstname:Universitat Oberta de Catalunya (UOC)InglésMathematics, 2020, 8(12)http://dx.doi.org/10.3390/math8122148info:eu-repo/grantAgreement/PID2019-105986GB-C21//CC BYhttp://creativecommons.org/licenses/by/3.0/es/info:eu-repo/semantics/openAccessoai:openaccess.uoc.edu:10609/1287062026-05-28T12:42:01Z
dc.title.none.fl_str_mv Generalized market uncertainty measurement in european stock markets in real time
title Generalized market uncertainty measurement in european stock markets in real time
spellingShingle Generalized market uncertainty measurement in european stock markets in real time
Uribe Gil, Jorge Mario
generalized uncertainty
coronavirus
Covid-19
market ambiguity
incertesa generalitzada
ambigüitat del mercat
coronavirus
Covid-19
incertidumbre generalizada
ambigüedad del mercado
coronavirus
Covid-19
Market surveys
Mercat -- Anàlisi
Mercado -- Análisis
title_short Generalized market uncertainty measurement in european stock markets in real time
title_full Generalized market uncertainty measurement in european stock markets in real time
title_fullStr Generalized market uncertainty measurement in european stock markets in real time
title_full_unstemmed Generalized market uncertainty measurement in european stock markets in real time
title_sort Generalized market uncertainty measurement in european stock markets in real time
dc.creator.none.fl_str_mv Uribe Gil, Jorge Mario
Guillen, Montserrat
author Uribe Gil, Jorge Mario
author_facet Uribe Gil, Jorge Mario
Guillen, Montserrat
author_role author
author2 Guillen, Montserrat
author2_role author
dc.contributor.none.fl_str_mv Universitat de Barcelona (UB)
Universitat Oberta de Catalunya (UOC)
dc.subject.none.fl_str_mv generalized uncertainty
coronavirus
Covid-19
market ambiguity
incertesa generalitzada
ambigüitat del mercat
coronavirus
Covid-19
incertidumbre generalizada
ambigüedad del mercado
coronavirus
Covid-19
Market surveys
Mercat -- Anàlisi
Mercado -- Análisis
topic generalized uncertainty
coronavirus
Covid-19
market ambiguity
incertesa generalitzada
ambigüitat del mercat
coronavirus
Covid-19
incertidumbre generalizada
ambigüedad del mercado
coronavirus
Covid-19
Market surveys
Mercat -- Anàlisi
Mercado -- Análisis
description We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in the aggregate, and provide readily and easily interpretable estimates, in real time, which are relevant for market participants and regulators. We show that generalized uncertainty in Europe was, indeed, at historically high levels in the wake of the recent public health crisis before the large interventions by the European Central Bank, the Fed, and the Bank of England, but also that, for some markets, recently recorded uncertainty levels were still lower than those recorded during the Global Financial Crisis, which puts things into perspective. We also show that uncertainty shocks are extremely persistent, but such persistence varies greatly across countries. The period needed for the markets to absorb half of the shock lies between less than a year and two and a half years.
publishDate 2020
dc.date.none.fl_str_mv 2020
2021
2021
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/10609/128706
url https://hdl.handle.net/10609/128706
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Mathematics, 2020, 8(12)
http://dx.doi.org/10.3390/math8122148
info:eu-repo/grantAgreement/PID2019-105986GB-C21//
dc.rights.none.fl_str_mv CC BY
http://creativecommons.org/licenses/by/3.0/es/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv CC BY
http://creativecommons.org/licenses/by/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Mathematics
publisher.none.fl_str_mv Mathematics
dc.source.none.fl_str_mv reponame:O2, repositorio institucional de la UOC
instname:Universitat Oberta de Catalunya (UOC)
instname_str Universitat Oberta de Catalunya (UOC)
reponame_str O2, repositorio institucional de la UOC
collection O2, repositorio institucional de la UOC
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869417052079390720
score 15,300719

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