Relationship between the news-based categorical economic policy uncertainty and US GDP: A mixed-frequency Granger-causality analysis

Yanran Hong, Pengfei Xu, Lu Wang and Zhigang Pan

Finance Research Letters, 2022, vol. 48, issue C

Abstract: Uncertainty brought about by the frequent formulation of various economic policies may affect economic development, which could conversely influence policymaking. We attempt to study the causality between each news-based categorical economic policy uncertainty and GDP in the US. We reveal a strong relationship between categorical economic policy uncertainty and GDP. However, trade policy uncertainty cannot impact GDP and there is no causal relationship between GDP and the uncertainty from sovereign debt and currency crises. Therefore, changes in different economic policies aimed at improving the economic status and level of development may also bring new challenges to the current situation.

Keywords: Categorical economic policy uncertainty; US GDP; Mixed-frequency; Granger causality (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 Q43 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002641

DOI: 10.1016/j.frl.2022.103024

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