| Revista: | Journal of applied economics |
| Base de datos: | CLASE |
| Número de sistema: | 000430308 |
| ISSN: | 1667-6726 |
| Autors: | Ajmid, Ahdi Noomen1 Aye, Goodness C2 Balcilar, Mehmet3 Montasser, Ghassen El4 Gupta, Rangan2 |
| Institucions: | 1Salam bin Abdulaziz University, Al-Kharj. Arabia Saudita 2University of Pretoria, Department of Economics, Pretoria, Transvaal. Sudáfrica 3Eastern Mediterranean University, Department of Economics, Famagusta. Chipre 4Universite de La Manouba, Ecole Superieure de Commerce de Tunis, Túnez. Túnez |
| Any: | 2015 |
| Període: | Nov |
| Volum: | 18 |
| Número: | 2 |
| Paginació: | 225-246 |
| País: | Argentina |
| Idioma: | Inglés |
| Tipo de documento: | Artículo |
| Enfoque: | Aplicado |
| Resumen en inglés | This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US. We use daily data on the newly developed indexes by Baker et al. (2013a) covering 1985:01:01 to 2013:06:14. Results from the linear causality tests indicate strong bidirectional causality. However, the parameters stability tests show strong evidence of short-run parameter instability, thus invalidating any conclusion from the full sample linear estimations. Therefore we turn to nonlinear tests and observe a stronger predictive power from EMU to EPU than from EPU to EMU. Using sub-sample bootstrap rolling window causality tests to fully account for the existence of structural breaks, we find evidence that EPU can help predict the movements in EMU only around 1993, 2004 and, 2006. However, we find strong evidence that EMU can help predict the movements in EPU throughout the sample period barring around 1998, 2003 and 2005 |
| Disciplines | Economía |
| Paraules clau: | Inversiones, Política económica, Econometría, Incertidumbre, Mercado de valores, Sistema financiero, Efectos económicos |
| Text complet: | Texto completo (Ver PDF) |
