Economic policy uncertainty and stock markets: Long-run evidence from the US

被引：308

作者：

Arouri, Mohamed ^{[1
]}

Estay, Christophe ^{[2
]}

Rault, Christophe ^{[3
]}

Roubaud, David ^{[4
]}

机构：

[1] Univ Auvergne, CRCGM, 11 Blvd Charles Gaulle, F-63000 Clermont Ferrand, France

[2] KEDGE Business Sch, 680 Cours Liberat, F-33400 Talence, France

[3] Univ Orleans, LEO, UMR CNRS 7322, Rue Blois BP 6739, F-45067 Orleans 2, France

[4] MBS, MRM, 2300 Ave Moulins, F-34080 Montpellier, France

来源：

FINANCE RESEARCH LETTERS | 2016年 / 18卷

关键词：

Policy uncertainty; US stock markets; Markov-switching; PRICES; SHOCKS;

D O I：

10.1016/j.frl.2016.04.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We contribute to the literature by studying the impact of economic policy uncertainty on stock markets in the United States over the period 1900-2014. We show that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility periods. (C) 2016 Published by Elsevier Inc.

引用

页码：136 / 141

页数：6

共 14 条

[1] Dynamic co-movements of stock market returns, implied volatility and policy uncertainty [J].