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This study examines the interdependence and asymmetries in the relationships between the economic policy uncertainty and the selected financial stability variables in Europe. Specifically, the impact of uncertainty on inflation, equity returns, the euro in US dollar exchange rate and interest rates is analyzed. The results show a significant negative impact of shocks in economic policy uncertainty on equity returns in Europe during the examined January 1987 – January 2023 period. Uncertainty shocks affect inflation asymmetrically at different time intervals. Asymmetric responses of interest rates and the exchange rate to uncertainty shocks are also found. The results suggest that economic policies in Europe should encompass efforts to mitigate economic uncertainty. [ABSTRACT FROM AUTHOR]

In this paper, we investigated how policy rate modifications – the main instrument used by central banks to provide liquidity during the current health crisis – influenced the evolution of the exchange rate, which is a key element within macro-stabilization policies. We documented that foreign exchange markets in European countries responded asymmetrically to monetary policy interventions devoted to the encouragement of spending and the stimulation of the economy. However, this only occurred during extreme events, which is a side-effect of the monetary policy on the foreign exchange market. These results contribute to the assessment of the space for manoeuvres by monetary policymakers regarding key policy rate modifications as a response to pandemic shocks. [ABSTRACT FROM AUTHOR]

The aim of the study is to obtain an accurate result from forecasting the EUR/USD exchange rate. To this end, high-performance machine learning models using CART Ensembles and Bagging method have been developed. Key macroeconomic indicators have been also examined including inflation in Europe and the United States, the index of unemployment in Europe and the United States, and more. Official monthly data in the period from December 1998 to December 2021 have been studied. A careful analysis of the macroeconomic time series has shown that their lagged variables are suitable for model's predictors. CART Ensembles and Bagging predictive models having been built, explaining up to 98.8% of the data with MAPE of 1%. The degree of influence of the considered macroeconomic indicators on the EUR/USD rate has been established. The models have been used for forecasting one-month-ahead. The proposed approach could find a practical application in professional trading, budgeting and currency risk hedging. [ABSTRACT FROM AUTHOR]

This paper studies the returns and volatility co-movements of the selected Central European currencies, namely the Czech koruna, Hungarian forint and Polish zloty against the European euro. The research uses the daily data covering the 15 years' period of membership of these countries in the EU (May 2004 - April 2019). The preliminary analyses based on calculation of the Pearson's unconditional correlations and of crosssectional standard deviation of exchange rate returns are followed by estimation of symmetric diagonal BEKK-GARCH and asymmetric diagonal BEKKGARCH models to assess both the dynamics of conditional volatility and the volatility co-movements of analysed Central European currencies. [ABSTRACT FROM AUTHOR]

This study supplies additional empirical evidence of responses in real economic activity to shocks in confidence. A Structural Vector Autoregression (SVAR), featuring confidence, real consumption and real output, is constructed with respect to the Euro Area (EA) and eight European nations. The results are mixed: responses exhibit reversibility and irreversibility, suggesting the formulation of a theoretical mechanism capable of formalizing such a variety. The potential causes behind confidence in the same nations are, moreover, evaluated through a panel data regression. The results indicate aversion towards output, inflation, unemployment, monetary independence and financial openness, but favor population, exchange rate rigidity and the accumulation of sovereign debt. [ABSTRACT FROM AUTHOR]