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摘要翻译：
本文通过对全球20个主要经济体的经济政策不确定性指数进行主成分分析，构建了全球经济政策不确定性指数。我们发现，基于PCA的全球经济政策不确定性指数可以很好地表征全球范围内的经济政策不确定性，这与GDP加权的全球经济政策不确定性指数是一致的。基于主成分分析的经济政策不确定性指数与全球金融市场的波动性和相关性正相关，表明当全球经济政策不确定性较大时，股票的波动性和相关性较强。基于PCA的全球经济政策不确定性指数表现稍好，因为基于PCA的不确定性与市场波动性和相关性之间的关系更为显著。
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英文标题：
《A global economic policy uncertainty index from principal component
analysis》
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作者：
Peng-Fei Dai (TJU), Xiong Xiong (TJU), Wei-Xing Zhou (ECUST)
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic policy uncertainty index is a good proxy for the economic policy uncertainty on a global scale, which is quite consistent with the GDP-weighted global economic policy uncertainty index. The PCA-based economic policy uncertainty index is found to be positively related with the volatility and correlation of the global financial market, which indicates that the stocks are more volatile and correlated when the global economic policy uncertainty is higher. The PCA-based global economic policy uncertainty index performs slightly better because the relationship between the PCA-based uncertainty and market volatility and correlation is more significant.
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PDF链接：
https://arxiv.org/pdf/1907.05049
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