期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 527, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.physa.2019.121301
关键词
Eonomic policy uncertainty; NARDL; Sectoral returns
This study investigates the impact of economic policy uncertainty on disaggregate US sector based returns. Our work is motivated by the presence of non-linear relationship between US economic policy uncertainty and equity returns of sampled US sectors. The paper uses weekly data from January 1995 to December 2015 for all the return indices and economic policy uncertainty data mainly based on policy issues, provision set for the US federal tax code and disagreement among economic forecasters. Our results indicate that information technology, utilities, industrial and telecommunication sectors remain insensitive to changes in the US economic policy uncertainty. However, financial and the consumer discretionary sectors show significant long run asymmetric relationship with the EPU. (C) 2019 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据