Economic Policy Uncertainty and Investor Sentiment: linear and nonlinear causality analysis

Bing Zhang

Applied Economics Letters, 2019, vol. 26, issue 15, 1264-1268

Abstract: In this paper, we study the relationship between economic policy uncertainty and investor sentiment. US data were analysed based on linear and non-linear Granger causality analysis. We reveal the obvious impact that economic policy uncertainty has on the investor sentiment, which can be explained by the real option and financial constraint theory.

Date: 2019
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DOI: 10.1080/13504851.2018.1545073

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