Re-Investigating the degree of persistence of U.S. economic policy uncertainty using the Fourier non-linear quantile unit root test

Yi-Ting Peng, Tsangyao Chang and Omid Ranjbar ()

Applied Economics, 2022, vol. 54, issue 39, 4586-4595

Abstract: This research tests the mean reversion properties of the U.S. EPU (economic policy uncertainty) index and its 11 sub-categories using the Fourier non-linear quantile unit root test over the period 1985M1-2020M12. The results indicate the following. (1) The U.S. EPU index responds asymmetrically to shocks, in which positive shocks are more long-lasting than negative shocks. (2) Monetary, fiscal, and trade policies and also national security and regulation series behave like unit root processes in all quartiles, whereas by contrast financial regulation and sovereign debt exhibit stationary behaviour over all quantiles. (3) Government spending, health care, national security, and entitlement programmes present stationary processes in low/high quantiles.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2022.2032584 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:54:y:2022:i:39:p:4586-4595

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2022.2032584

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().