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The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets

Fang, Libing; Yu, Honghai; Li, Lei - In: Economic modelling 66 (2017), pp. 139-145

Persistent link: https://www.econbiz.de/10011813695

When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis

Liu, Zhenhua; Zhang, Huiying; Ding, Zhihua; Lv, Tao; … - In: Economic modelling 114 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013367585

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

Forecasting Pakistan stock market volatility : evidence from economic variables and the uncertainty index

Ghani, Maria; Guo, Qiang; Ma, Feng; Li, Tao - In: International review of economics & finance : IREF 80 (2022), pp. 1180-1189

Persistent link: https://www.econbiz.de/10013343226

Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market

Li, Xiaoming - 2015

This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...

Persistent link: https://www.econbiz.de/10013024205