This study is the first attempt to scrutinize the causal relationship between economic policy uncertainty (EPU) and innovation in the case of China, using the autoregressive distributed lag (ARDL) approach to co-integration approach of innovation accounting for causality analysis. The empirical...

I quantify the causal impact of macroeconomic uncertainty on time-varying expected returns. The exogenous timing of macroeconomic announcements provides an instrument for uncertainty. Using daily measures of macroeconomic uncertainty and expected equity market returns, I find announcements...