The causal relationship between economic policy uncertainty and stock indices in OECD and non-OECD countries: evidence from time-varying Granger causality tests on a lag-augmented VAR model
The causal relationship between economic policy uncertainty and stock indices in OECD and non-OECD countries: evidence from time-varying Granger causality tests on a lag-augmented VAR model
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经合组织和非经合组织国家经济政策不确定性与股票指数之间的因果关系：来自滞后增强 VAR 模型的时变格兰杰因果关系检验的证据
DOI：
10.1080/13504851.2021.1999897
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发表时间：
2023
影响因子：
1.6
通讯作者：
Hiroshi Ono
中科院分区：
文献类型：
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作者：
山根智沙子;Hiroshi Ono
本研究重新检视经济合作与发展组织（OECD）与非OECD国家经济政策不确定性（EPU）与股票指数之间的因果关系。为此，它采用了滞后增广向量自回归模型与时变格兰杰因果关系检验。根据标准的格兰杰因果关系检验结果，只有少数国家证明了两个变量之间的因果关系。然而，使用时变格兰杰因果关系检验的实证结果表明，这两个变量之间的因果关系并不存在于整个时期，但它存在于一些子时期在许多国家。此外，研究结果还发现，许多时期和国家的股票指数与股票价格领先假说之间存在因果关系。结果表明，两个变量之间的关系不是恒定的，这意味着在许多国家，它从一个时期到下一个时期都在变化。
This study re-examined the causal relationship between economic policy uncertainty (EPU) and stock indices for Organization for Economic Co-operation and Development (OECD) and non-OECD countries. To this aim, it applied the lag-augmented vector autoregression model with a time-varying Granger causality test . Based on the standard Granger causality test results, only afew countries demonstrated acausal relationship between two variables. However, the empirical findings using of time-varying Granger causality test indicate that the causal relationship between the two variables is not present for the entire period, but it is present for some sub-periods in many countries. Additionally, the results found that causality running from stock indices to EPU (stock price-leading hypothesis) for many periods and countries. The results indicate that the relationship between two variables is not constant, meaning that it changes from one period to the next in many countries.
全球经济衰退
DOI：
10.2139/ssrn.3535972
发表时间：
2020
期刊：
ERN: Other Development Economics: Macroeconomic Issues in Developing Economies (Topic)
影响因子：
--
作者：
Emna Omri;Nouri Chtourou;D. Bazin
通讯作者：
D. Bazin