Economic Policy Uncertainty and Stock Market Volatility: A Causality Check

Arbeitspapier

Using causal graphs, this paper develops a simple check to uncover the direction of the causal link between economic policy uncertainty and stock market volatility. The check is applied to monthly data for 22 countries. The results imply that uncertainty is an instantaneous cause of stock market volatility. Estimates suggest that stock market volatility increases by 0.15% to 0.85% after a 1% increase in economic policy uncertainty.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 234

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Information, Knowledge, and Uncertainty: General ; General Outlook and Conditions ; General Financial Markets: General (includes Measurement and Data)
• Subject: Causal inference ; Causal graph ; Economic policy uncertainty ; Stock market volatility

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Raunig, Burkhard
• Event: Veröffentlichung
• (who): Oesterreichische Nationalbank (OeNB)
• (where): Vienna
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/264826
• Last update: 10.03.2025, 11:42 AM CET