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001-es BibID:

BIBFORM109996

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Cím:

US Policy Uncertainty and Stock Market Nexus Revisited through Dynamic ARDL Simulation and Threshold Modelling : Reprinted from: Mathematics 2020, 8, 2073, doi:10.3390/math8112073 / Muhammad Asif Khan, Masood Ahmed, József Popp, Judit Oláh

Dátum:

2021

Megjelenés:

Utánközlés / Párhuzamos közlés

Megjegyzések:

Since the introduction of the measure of economic policy uncertainty, businesses, policymakers, and academic scholars closely monitor its momentum due to expected economic implications. The US is the world's top-ranked equity market by size, and prior literature on policy uncertainty and stock prices for the US is conflicting. In this study, we reexamine the policy uncertainty and stock price nexus from the US perspective, using a novel dynamically simulated autoregressive distributed lag setting introduced in 2018, which appears superior to traditional models. The empirical findings document a negative response of stock prices to 10% positive/negative shock in policy uncertainty in the short-run, while in the long-run, an increase in policy uncertainty by 10% reduces the stock prices, which increases in response to a decrease with the same magnitude. Moreover, we empirically identified two significant thresholds: (1) policy score of 4.89 (original score 132.39), which negatively explain stock prices with high magnitude, and (2) policy score 4.48 (original score 87.98), which explains stock prices negatively with a relatively low magnitude, and interestingly, policy changes below the second threshold become irrelevant to explain stock prices in the United States. It is worth noting that all indices are not equally exposed to unfavorable policy changes. The overall findings are robust to the alternative measures of policy uncertainty and stock prices and o er useful policy input. The limitations of the study and future line of research are also highlighted. All in all, the policy uncertainty is an indicator that shall remain ever-important due to its nature and implication on the various sectors of the economy (the equity market in particular).
Khan, iMuhammad Asif (1976-) (közgazdász): US Policy Uncertainty and Stock Market Nexus Revisited through Dynamic ARDL Simulation and Threshold Modelling

ISBN:

978-3-0365-0196-3

Tárgyszavak:

Társadalomtudományok Közgazdaságtudományok könyvfejezet
könyvrészlet
policy uncertainty
stock prices
dynamically simulated autoregressive distributed lag (DYS-ARDL)
threshold regression
United States

Megjelenés:

Quantitative Methods for Economics and Finance / szerk. J.E. Trinidad-Segovia, Miguel Ángel Sánchez-Granero. - p. 1-20. -

További szerzők:

Ahmed, Masood Popp József (1955-) (közgazdász) Oláh Judit (1973-) (agrárközgazdász, logisztika)

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