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Giray Gozgor and Ender Demir
 
''Excess stock returns, oil shocks, and policy uncertainty in the U.S.''
( 2017, Vol. 37 No.2 )
 
 
This paper examines the dynamic relationships among the excess stock returns, oil shocks, and economic policy uncertainty in the United States (U.S). By using 11 different measures of policy uncertainty shocks, we find that excess stock returns to lead a significant policy uncertainty in general, and there are significant effects of the excess stock returns on all policy uncertainties–economic, monetary, and tax policies in particular. In addition, the results highlight that policy uncertainty in the U.S. is also driven by the oil price shocks in the long-run.
 
 
Keywords: News-based uncertainty, policy uncertainty, EPU, excess stock returns, oil markets, SVAR methodology
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
Q4 - Energy: General
 
Manuscript Received : Feb 03 2017 Manuscript Accepted : Apr 22 2017

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