Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market

Autor:	Ruzhao Gao, Xiaoming Li, Bing Zhang
Rok vydání:	2015
Předmět:	Economics and Econometrics Shock (economics) Index (economics) Economic policy Bond Structural break Economics Special case Finance Stock (geology)
Zdroj:	Economics Letters. 132:91-96
ISSN:	0165-1765
DOI:	10.1016/j.econlet.2015.04.013
Popis:	This paper examines the effects of economic policy uncertainty shocks on stock–bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy uncertainty index impact negatively and asymmetrically on the subsequent stock–bond correlations which are characterized by a structural break and positive-type asymmetry.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c0ce9269bdf515f77469442ec58fb699 https://doi.org/10.1016/j.econlet.2015.04.013 Zobrazit plný text záznamu Full Text from ScienceDirect