Ajmi, Ahdi N.; Aye, Goodness C.; Balcilar, Mehmet; … - Department of Economics, Faculty of Economic and … - 2013
This paper examines the causal relationship between economic policy uncertainty (EPU) and equity market uncertainty (EMU) in the US using linear and nonlinear Granger causality tests. We use daily data on the newly developed indexes by Baker et al. (2013) covering 1985:01:01 to 2013:06:14....
