Arbeitspapier
Economic Policy Uncertainty and Stock Market Volatility: A Causality Check
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 234
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Information, Knowledge, and Uncertainty: General
General Outlook and Conditions
General Financial Markets: General (includes Measurement and Data)
- Thema
-
Causal inference
Causal graph
Economic policy uncertainty
Stock market volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Raunig, Burkhard
- Ereignis
-
Veröffentlichung
- (wer)
-
Oesterreichische Nationalbank (OeNB)
- (wo)
-
Vienna
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Raunig, Burkhard
- Oesterreichische Nationalbank (OeNB)
Entstanden
- 2021
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