Are disaggregate industrial returns sensitive to economic policy uncertainty
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Abstract
© 2019 Elsevier B.V. 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.Citation
Ur Rehman, M., Asghar, N. and Hussain, J. (2019) Are disaggregate industrial returns sensitive to economic policy uncertainty, Physica A: Statistical Mechanics and its Applications. 10.1016/j.physa.2019.121301Publisher
Elsevier BVJournal
Physica A: Statistical Mechanics and its ApplicationsType
Journal articleLanguage
enISSN
0378-4371ae974a485f413a2113503eed53cd6c53
10.1016/j.physa.2019.121301
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Except where otherwise noted, this item's license is described as https://creativecommons.org/licenses/by-nc-nd/4.0/