From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?
用贝叶斯copula网络研究经济政策不确定性与隐含市场波动的关系，发现市场隐含波动比基于报纸的EPU更能前瞻性地反映不确定性，并揭示了媒体在短期制造模糊、长期反映不确定性的不同作用。
ABSTRACT This paper investigates the interdependence between economic policy uncertainty (EPU) and implied market volatility using a Bayesian copula network. The results indicate that market‐implied volatilities serve as more reliable forward‐looking indicators of uncertainty compared to newspaper‐based EPU. Through a complex partial wavelet coherence approach, the study further explores the dynamic interdependence between these variables, revealing the specific time‐domain patterns of their effects on economic uncertainty and the conditions under which they can be distinguished as measures of risk aversion and ambiguity aversion. Notably, the findings suggest that, in the short time scales, the media tends to generate ambiguity, contributing to belief divergence among market participants. However, over longer time scales, EPU increasingly reflects economic uncertainty. These insights are valuable for gaining a deeper understanding of the media's role in conveying information and the behavioral traits influencing economic decision‐making.