Uncertainty

We examine the effect of populism on financial markets around national elections. We find that the electoral success of populist parties has a direct impact on volatility in major domestic market indexes with different signs depending on the political ideology of the populist parties.

2021-09-01

We use data from betting markets to analyze the sensitivity of stock returns to potential outcomes of political events such as elections. By classifying stocks into expected conditional winners and losers prior to such an event, we form portfolios that generate large positive returns after the event date, conditional on correctly anticipating the outcome. We illustrate this using data from the 2016 US presidential election and the 2016 Brexit referendum.

2020-02-25

This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity.

2020-01-21

Research data, plots and information on political event portfolios, focusing on the 2020 US presidential election.

2019-12-12

Research data, plots and information for single and multi-country measures of Macro-Financial Uncertainty.

2019-12-12

The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.

2017-02-03