The influence of economic policy uncertainty shocks on art market

ABSTRACT

We contribute to the literature by studying the impact of economic policy uncertainty shocks on returns in the global art market, the global paintings market and the U.S.A art market from 1998:Q1 to 2018:Q3. Based on the frequency domain Granger causality test and continuous wavelets analysis, the results show that an increase in policy uncertainty shocks significantly reduces returns on art and paintings and that the effect is stronger during extreme volatility periods. Policy implications are derived at the end of the article.

KEYWORDS:

• Global and USA art markets
• policy uncertainty
• global wavelet analysis
• painting market returns

JEL CLASSIFICATION:

• C22
• Z11

Acknowledgments

Prof. Luis A. Gil-Alana gratefully acknowledges financial support from the MINEIC-AEI-FEDER ECO2017-85503-R project from ‘Ministerio de Economía, Industria y Competitividad’ (MINEIC), `Agencia Estatal de Investigación’ (AEI) Spain and `Fondo Europeo de Desarrollo Regional’ (FEDER). He also acknowledges support from an internal Project of the Universidad Francisco de Vitoria. Comments from the Editor and two anonymous reviewers are gratefully acknowledged.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

The work was supported by the Ministerio de Econom?a, Industria y Competitividad, Gobierno de Espa?a [MINEIC-AEI-FEDER PID2020-113691RB-I00].