Economic policy uncertainty and stock markets: Long-run evidence from the US
Mohamed Arouri (),
Christophe Estay (),
Christophe Rault () and
David Roubaud ()
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Christophe Estay: Kedge Business School [Talence]
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We contribute to the literature by studying the impact of economic policy uncertainty on stock markets in the United States over the period 1900\textendash2014. We show that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility periods.
Keywords: Markov-switching; Policy uncertainty; US stock markets (search for similar items in EconPapers)
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Published in Finance Research Letters, Elsevier, 2016, 18, pp.136--141. ⟨10.1016/j.frl.2016.04.011⟩
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Journal Article: Economic policy uncertainty and stock markets: Long-run evidence from the US (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02009137
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