Using causal graphs to test for the direction of instantaneous causality between economic policy uncertainty and stock market volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-023-02409-7.pdf
Reference35 articles.
1. Ajmi AN, Aye GC, Balcilar M, El Montasser G, Gupta R (2015) Causality between US economic policy and equity market uncertainties: evidence from linear and nonlinear tests. J Appl Econ 18(2):225–246
2. Antonakakis N, Chatziantoniou I, Filis G (2013) Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Econ Lett 120(1):87–92
3. Baker SR, Bloom N, Davis SJ (2016) Measuring economic policy uncertainty. Q J Econ 131(4):1593–1636
4. Baker SR, Bloom N, Davis SJ, Kost KJ (2019) Policy news and stock market volatility. Working Paper 25720, National Bureau of Economic Research. http://www.nber.org/papers/w25720
5. Balli F, Uddin GS, Mudassar H, Yoon SM (2017) Cross-country determinants of economic policy uncertainty spillovers. Econ Lett 156:179–183
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