All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

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
Q4 - Energy: General
Manuscript Received : Feb 03 2017 Manuscript Accepted : Apr 22 2017

  This abstract has been downloaded 1280 times                The Full PDF of this paper has been downloaded 153794 times