The Causal Relationship Between Stock Markets and Policy Uncertainty in OECD Countries

被引：0
|
作者：
Pirgaip, Burak [1 ]
机构：
[1] Cankaya Univ, Ankara, Turkey
来源：
5TH RSEP INTERNATIONAL CONFERENCES ON SOCIAL ISSUES AND ECONOMIC STUDIES | 2017年
关键词：
Economic policy uncertainty; stock markets; Panel Granger causality; OECD; ECONOMIC-GROWTH; INFERENCE; SHOCKS; IMPACT; POWER;
D O I：
10.19275/RSEPCONFERENCES105
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：20 / 29
页数：10
相关论文
共 50 条
  • [1] US economic policy uncertainty spillover on the stock markets of the GCC countries
    Istiak, Khandokar
    Alam, Md Rafayet
    JOURNAL OF ECONOMIC STUDIES, 2020, 47 (01) : 36 - 50
  • [2] The Causal Relationship Between Real Estate and Stock Markets
    John Okunev
    Patrick Wilson
    Ralf Zurbruegg
    The Journal of Real Estate Finance and Economics, 2000, 21 : 251 - 261
  • [3] The causal relationship between real estate and stock markets
    Okunev, J
    Wilson, P
    Zurbruegg, R
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2000, 21 (03) : 251 - 261
  • [4] The causal relationship between economic policy uncertainty and stock indices in OECD and non-OECD countries: evidence from time-varying Granger causality tests on a lag-augmented VAR model
    Ono, Hiroshi
    APPLIED ECONOMICS LETTERS, 2023, 30 (05) : 572 - 576
  • [5] Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty
    Christou, Christina
    Gupta, Rangan
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2020, 76 : 243 - 248
  • [6] Linkage between US Financial Uncertainty and Stock Markets of SAARC Countries
    Aziz, Tariq
    Marwat, Jahanzeb
    Mustafa, Sheraz
    Zeeshan, Asma
    Iqbal, Yasir
    JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2021, 8 (02): : 747 - 757
  • [7] Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries
    Pradhan, Rudra P.
    Arvin, Mak B.
    Bahmani, Sahar
    GLOBAL FINANCE JOURNAL, 2015, 27 : 98 - 111
  • [8] NONLINEAR CAUSAL RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND MACROECONOMIC VARIABLES IN SELECTED EMERGING MARKET ECONOMIES
    Adjei, Abigail Naa Korkor
    Tweneboah, George
    Owusu, Peterson, Jr.
    ANNALS OF FINANCIAL ECONOMICS, 2023, 18 (01)
  • [9] Economic Policy Uncertainty and Stock Markets Co-movements
    Albrecht, Peter
    Kapounek, Svatopluk
    Kucerova, Zuzana
    39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021), 2021, : 12 - 17
  • [10] Economic policy uncertainty and stock markets' co-movements
    Albrecht, Peter
    Kapounek, Svatopluk
    Kucerova, Zuzana
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2023, 28 (04) : 3471 - 3487
12345