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On the effects of policy uncertainty on stock prices: an asymmetric analysis

1 The Center for Research on International Economics and Department of Economics, The University of Wisconsin-Milwaukee, Milwaukee, USA
2 Department of Economics, Wabash College, Crawfordsville, USA

Special Issues: Quantitative Methods in Sustainable Finance

Assessing the impact of policy uncertainty on any macroeconomic variables has recently gained momentum. One recent study that considered its impact on stock returns found that an increase in uncertainty has adverse short-run but not long-run effects. In this study, we show that once the nonlinear adjustment of policy uncertainty is introduced into the same multivariable model, policy uncertainty not only has short-run effects but also long-run effects. Furthermore, in most instances the short-run and long-run effects are asymmetric.
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Keywords policy uncertainty; stock prices; asymmetry; nonlinear ARDL

Citation: Mohsen Bahmani-Oskooee, Sujata Saha. On the effects of policy uncertainty on stock prices: an asymmetric analysis. Quantitative Finance and Economics, 2019, 3(2): 412-424. doi: 10.3934/QFE.2019.2.412


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