Abstract
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.
| Original language | English |
|---|---|
| Title of host publication | 5th Rsep International Conferences On Social Issues And Economic Studies |
| Editors | MV Kaya |
| Publisher | Bc Grup Inc |
| Pages | 20-29 |
| Number of pages | 10 |
| ISBN (Electronic) | 978-605-307-788-6 |
| DOIs | |
| Publication status | Published - 2017 |
| Event | 5th RSEP International Conferences on Social Issues and Economic Studies - Barcelona, Spain Duration: 7 Nov 2017 → 10 Nov 2017 |
Conference
| Conference | 5th RSEP International Conferences on Social Issues and Economic Studies |
|---|---|
| Country/Territory | Spain |
| City | Barcelona |
| Period | 7/11/17 → 10/11/17 |
Keywords
- Economic policy uncertainty
- Oecd
- Panel Granger causality
- Stock markets
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