Time varying causality between Economic policy uncertainty and stock prices in BRIC countries: A rolling-window bootstrap approach

Riadh El Abed () and Noura Harboub ()
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Riadh El Abed: University of Tunis El Manar
Noura Harboub: University of Monastir

Economics Bulletin, 2022, vol. 42, issue 4, 1767 - 1781

Abstract: In this paper, we use the rolling window bootstrap causality test to examine the dynamic causality according to the bivariate framework between economic policy uncertainty and stock prices in BRIC countries. We employed monthly data during the period span from March 2003 to February 2022. Empirical results indicate the evidence of unidirectional and absence of causality between variables. In addition, the causal relationship between stock prices and economic uncertainty is time varying. The causal periods coincide with periods of exceptional events such as financial crisis and the Covid-19 pandemic.

JEL-codes: E3 (search for similar items in EconPapers)
Date: 2022-12-30
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