The causal relationship between stock markets and policy uncertainty in OECD countries
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Date
2017
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Bc Grup inc
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Abstract
In this study, we examine the causal relationship between economic policy uncertainty (EPU) and stock market prices in OECD countries. We provide strong evidence that stock markets mostly Granger cause EPU. Such causality may also exist in the opposite direction for a few cases and we find no causality in some countries as well. Our results do not provide any support for bidirectional causality.
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Economic Policy Uncertainty, Stock Markets, Panel Granger Causality, Oecd
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Citation
Pirgaip, Burak, "The causal relationship between stock markets and policy uncertainty in OECD countries", 5th Rsep International Conferences On Social Issues And Economic Studies, pp. 20-29, (2017).
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5th RSEP International Conferences on Social Issues and Economic Studies -- NOV 07-10, 2017 -- Barcelona, SPAIN
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Start Page
20
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29