The Impact of the Freedom of the Press on Risk

36 Pages Posted: 14 Aug 2018 Last revised: 12 Dec 2018

See all articles by Diogo Duarte

Diogo Duarte

Florida International University (FIU) - Department of Finance

Yuri Saporito

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics

Date Written: July 23, 2018

Abstract

We provide empirical evidence that changes in the level of the freedom of the press have a substantial impact on important risk measures. Using data from the Freedom of the Press annual report to capture how freely the news media can operate, we investigate how changes in the freedom of the press impact financial markets' volatility and the economic policy uncertainty index.Using data from eight of the OECD countries and the BRIC countries, we present empirical evidence that the effect of the freedom of the press shocks on the economic policy uncertainty index and on the financial markets' volatility is quite distinct, providing further support that both measures of risk capture different dimensions of uncertainty. In addition, we show that the freedom of the press deteriorates during economic recessions relative to economic expansions.

Keywords: Freedom of the Press, Economic Policy Uncertainty, Volatility, Financial Markets, Bayesian Vector Autoregression (VAR)

JEL Classification: C32, D80, G12

Suggested Citation

Duarte, Diogo and Saporito, Yuri and Targino, Rodrigo, The Impact of the Freedom of the Press on Risk (July 23, 2018). Available at SSRN: https://ssrn.com/abstract=3218754 or http://dx.doi.org/10.2139/ssrn.3218754

Diogo Duarte (Contact Author)

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Yuri Saporito

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics ( email )

Praia de Botafogo
Rio de Janeiro, 22250-900
Brazil

Rodrigo Targino

Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics ( email )

Praia de Botafogo
Rio de Janeiro, 22250-900
Brazil

HOME PAGE: http://https://sites.google.com/site/rodrigodossantostargino/

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