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

PİRGAİP B.

5th RSEP International Conferences on Social Issues and Economic Studies, Barcelona, İspanya, 7 - 10 Kasım 2017, ss.20-29 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası:
  • Doi Numarası: 10.19275/rsepconferences105
  • Basıldığı Şehir: Barcelona
  • Basıldığı Ülke: İspanya
  • Sayfa Sayıları: ss.20-29
  • Hacettepe Üniversitesi Adresli: Hayır

Özet

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.