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

2021 ◽  
pp. 1-5
Author(s):  
Hiroshi Ono
Keyword(s):  
Economic Policy ◽  
Causal Relationship ◽  
Granger Causality ◽  
Var Model ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Economic Policy Uncertainty ◽  
Stock Indices ◽  
Causality Tests ◽  
Granger Causality Tests

Economic policy uncertainty and house prices in Germany: evidence from GSADF and wavelet coherence techniques

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dervis Kirikkaleli ◽  
Korhan Gokmenoglu ◽  
Siamand Hesami
Keyword(s):  
Economic Policy ◽  
Granger Causality ◽  
Price Index ◽  
Wavelet Coherence ◽  
Housing Sector ◽  
Policy Uncertainty ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Causality Tests ◽  
The Relationship

Purpose This study aims to answer the following questions which have not been investigated in the literature to the best knowledge: Is there any bubble in the German housing sector between 2005–2009 and 2012–2017? and Is there any linkage between economic policy uncertainty and the housing sector price index? Design/methodology/approach This study aims to shed some light on the German’s housing sector by investigating the housing sector bubble and the causal link between the housing sector index and economic policy uncertainty in Germany, using GSADF, Granger causality, Toda Yamamoto causality and wavelet coherence tests. Findings The findings reveal that there are some bubbles in the housing sector in Germany for the periods investigated, there is a positive correlation between economic policy uncertainty and housing sector price index at different frequencies and different periods and between 2008 and 2009 and between 2011 and 2013, economic policy uncertainty leads housing sector price index. The consistency of the findings from wavelet coherence is confirmed by the outcomes of Granger causality and Toda Yamamoto causality tests. Originality/value To the best knowledge, this is the first study that empirically investigates the relationship between the housing sector and EPU using a novel wavelet econometric method. In addition, this paper extends the research focused on the associations between the housing sector and EPU, by checking the bubbles in the market in different time horizons by using the longest available data span. Furthermore, the consistency of the findings from wavelet causality is confirmed by the outcomes of Granger causality and Toda Yamamoto causality tests. Finally, compared to the previous literature on the relationship between housing and EPU, the study uses a hedonic index for housing for the first time in the case of Germany.

TESTING THE CAUSALITIES BETWEEN ECONOMIC POLICY UNCERTAINTY AND THE US STOCK INDICES: APPLICATIONS OF LINEAR AND NONLINEAR APPROACHES

2017 ◽  
Vol 12 (04) ◽  
pp. 1750016 ◽  
Author(s):  
SERDAR ONGAN ◽  
ISMET GOCER
Keyword(s):  
Economic Policy ◽  
Policy Uncertainty ◽  
Causal Relationships ◽  
Economic Policy Uncertainty ◽  
Stock Indices ◽  
Long Run ◽  
Rolling Window ◽  
The Us ◽  
Causality Tests ◽  
Nonlinear Rolling

This study aims to investigate the causal relationships between the economic policy uncertainty (EPU) index and the US stock indices the S&P 500, Dow Jones and Nasdaq 100 over the period of 1985M10–2016M12. To this aim, it is applied both linear causality and the nonlinear rolling window causality tests. The long-run analyses are also applied to reveal the elasticities of the US stock indices. The empirical findings indicate that both the linear and the nonlinear approaches support the evidence of causal relationships from the US EPU index to all the US stock indices. Additionally, it is also found some evidences of causal relationships from these three US stock indices to the US EPU index especially between 2008–2013 in the latest financial crisis and in the late 2016. The results indicate that the Nasdaq 100 index is mostly affected from the US EPU index both in the short and long-runs.

scholarly journals Economic Policy Uncertainty (EPU) and China's Export Fluctuation in the Post-pandemic Era: An Empirical Analysis based on the TVP-SV-VAR Model

2021 ◽  
Vol 9 ◽  
Author(s):  
Guoheng Hu ◽  
Shan Liu
Keyword(s):  
Economic Policy ◽  
Var Model ◽  
Export Trade ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Short Term ◽  
Monthly Data ◽  
Economic Policy Uncertainty ◽  
Risk Monitoring ◽  
Trade Control

In the COVID-19 pandemic, the bidirectional policy adopted by the governments to stimulate domestic economy and reinforce foreign trade control is making the trade environment abnormally complex. China is facing a new challenge in export trade growth. Based on the continuous monthly data from January 2002 to April 2021, this paper uses the time-varying TVP-SV-VAR model to study the impulse response of China's export trade to economic policy uncertainty (EPU). It is found that (1) on the whole, the shock of global EPU and China's EPU on China's export to the OBOR/RCEP member countries is time-varying, different, and structurally significant; (2) during the pandemic, EPU has a significant short-term negative shock on China's gross exports and export to OBOR/RCEP members, and this shock is especially big in the case of global EPU. In the post-pandemic era, China should strengthen pandemic control and economic risk monitoring, continue with execution of multilateral FTAs and create a sustainably stable export trade environment.

Economic policy uncertainty and stock prices in BRIC countries: evidence from asymmetric frequency domain causality approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mucahit Aydin ◽  
Ugur Korkut Pata ◽  
Veysel Inal
Keyword(s):  
Economic Policy ◽  
Frequency Domain ◽  
Stock Prices ◽  
Policy Uncertainty ◽  
Causality Test ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Bric Countries ◽  
Causality Tests ◽  
Asymmetric Causality

Purpose The aim of this study is to investigate the relationship between economic policy uncertainty (EPU) and stock prices during the period from March 2003 to March 2021. Design/methodology/approach The study uses asymmetric and symmetric frequency domain causality tests and focuses on BRIC countries, namely, Brazil, Russia, India and China. Findings The findings of the symmetric causality test confirm unidirectional permanent causality from EPU to stock prices for Brazil and India and bidirectional causality for China. However, according to the asymmetric causality test, the findings for China show that there is no causality between the variables. The results for Brazil and India indicate that there is unidirectional permanent causality from positive components of EPU to positive components of stock prices. Moreover, for Brazil, there is unidirectional temporary causality from the negative components of EPU to the negative components of stock prices. For India, there is temporary causality in the opposite direction. Originality/value The reactions of financial markets to positive and negative shocks differ. In this context, to the best of the authors’ knowledge, this study is the first attempt to examine the causal relationships between stock prices and uncertainty using an asymmetric frequency domain approach. Thus, the study enables the analysis of the effects of positive and negative shocks in the stock market separately.

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