International Conditional Policy Uncertainty

Friday, February 2, 2018 - 2:30pm to 3:30pm
SDSB Faculty Lounge

Speaker’s Profile
Tahir Suleman is a Lecturer in Finance at Wellington Institute of Technology and Research Fellow at Victoria Business School. He obtained his PhD. (Finance) from Victoria University of Wellington. He also holds M.Sc. Quantitative Finance, from Hanken School of Economics, Finland and MS Financial Economics from University of Skovde, Sweden. Tahir also served as Vice president of postgraduate student association, Victoria University of Wellington.

He has been actively involved in research and teaching activities. Tahir's areas of research include empirical asset pricing, policy uncertainty, volatility modelling, corporate governance and political connections.

Using an international dataset, we test for a conditional relationship between policy uncertainty and equity market risk. Specially, following Pastor and Veronesi (2013), we test whether policy uncertainty becomes more important as a driver of financial risk when economic conditions are poor. We show that this is true for democratic economies, but not for autocracies. Further, pricing responses (i.e. rises in risk premia) are strongest in emerging economies. We consider a range of extensions of the model. In particular, we show that, within democracies, those with weak governments face much stronger conditional policy uncertainty.