Jia Zeng, Mehta Ahmed Muneeb, Qamruzzaman Md, Ali Majid
School of International Programs, Guangdong University of Finance, Guangzhou, China.
Hailey College of Banking and Finance, University of the Punjab, Lahore, Pakistan.
Front Psychol. 2021 May 24;12:631834. doi: 10.3389/fpsyg.2021.631834. eCollection 2021.
The impetus of this study is to gauge the nexus between economic policy uncertainty (EPU) and financial innovation in Brazil, Russia, India, China, and South Africa (BRIC) nations for the period from 2004M1 to 2018M12. This study utilizes both the linear and non-linear autoregressive distributed lag (ARDL) models to evaluate the long-run and the short-run association between EPU and financial innovation; furthermore, the causal effects are investigated by following the non-Granger casualty framework. The results of long-run cointegration, i.e., the test statistics of modified -test (FPSS), standard Wald test (WPSS), and tBDM, reject the null hypothesis and establish the presence of the long-run association between EPU and financial innovation. Conversely, long-run asymmetry cointegration revealed the test statistics of FPSS, WPSS, and tBDM in non-linear estimation. Furthermore, both in the long run and short run, the Wald test results disclose asymmetric effects running from EPU to financial innovation. In regards to the asymmetric impact of EPU on financial innovation, this study documents that the positive and negative shocks in EPU are negatively linked with financial innovation in the long run but are insignificant for short-run effects. Besides, financial innovation measured by R&D investment exhibits a positive linkage with shocks in EPU, implying that uncertainty induces innovation in the economy. Referring to causality effects, this study divulges the , i.e., bidirectional causality prevails between EPU and financial innovation in all sample countries.
本研究的目的是衡量2004年1月至2018年12月期间巴西、俄罗斯、印度、中国和南非（金砖国家）经济政策不确定性（EPU）与金融创新之间的联系。本研究利用线性和非线性自回归分布滞后（ARDL）模型来评估EPU与金融创新之间的长期和短期关联；此外，通过遵循非格兰杰因果关系框架来研究因果效应。长期协整的结果，即修正的 -检验（FPSS）、标准 Wald 检验（WPSS）和 tBDM 的检验统计量，拒绝了原假设，并确定了 EPU 与金融创新之间存在长期关联。相反，长期不对称协整揭示了非线性估计中 FPSS、WPSS 和 tBDM 的检验统计量。此外，无论在长期还是短期，Wald 检验结果都揭示了从 EPU 到金融创新的不对称效应。关于 EPU 对金融创新的不对称影响，本研究表明，EPU 的正向和负向冲击在长期与金融创新呈负相关，但在短期影响中不显著。此外，以研发投资衡量的金融创新与 EPU 的冲击呈正相关，这意味着不确定性会促使经济中的创新。关于因果效应，本研究揭示了 ，即所有样本国家的 EPU 与金融创新之间存在双向因果关系。
