Loading...
Are disaggregate industrial returns sensitive to economic policy uncertainty
Rehman, MU Hussain, J
Rehman, MU
Hussain, J
Authors
Editors
Other contributors
Affiliation
Epub Date
Issue Date
2019-05-10
Submitted date
Alternative
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.2019.121301
Publisher
Research Unit
PubMed ID
PubMed Central ID
Embedded videos
Type
Journal article
Language
en
Description
Series/Report no.
ISSN
0378-4371