Are disaggregate industrial returns sensitive to economic policy uncertainty

Mobeen Ur Rehman, Nadia Asghar and Javed Hussain

Physica A: Statistical Mechanics and its Applications, 2019, vol. 527, issue C

Abstract: This study investigates the impact of economic policy uncertainty on disaggregate US sector based returns. Our work is motivated by the presence of non-linear relationship between US economic policy uncertainty and equity returns of sampled US sectors. The paper uses weekly data from January 1995 to December 2015 for all the return indices and economic policy uncertainty data mainly based on policy issues, provision set for the US federal tax code and disagreement among economic forecasters. Our results indicate that information technology, utilities, industrial and telecommunication sectors remain insensitive to changes in the US economic policy uncertainty. However, financial and the consumer discretionary sectors show significant long run asymmetric relationship with the EPU.

Keywords: Economic policy uncertainty; NARDL; Sectoral returns (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:527:y:2019:i:c:s0378437119307605

DOI: 10.1016/j.physa.2019.121301

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