Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries

Autor:	Hassen Guenich, Khalfaoui Hamdi, Néjib Chouaibi
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	Economic policy uncertainty interest rate oil price volatility investor sentiment asymmetric relationships NARDL Finance HG1-9999 Economic theory. Demography HB1-3840
Zdroj:	Cogent Economics & Finance, Vol 10, Iss 1 (2022)
Druh dokumentu:	article
ISSN:	23322039 2332-2039
DOI:	10.1080/23322039.2022.2151113
Popis:	AbstractThe question of the economic policy uncertainty, interest rate and oil price volatility and their effects on investor sentiment is rarely addressed by the literature. Thus, we are motivated to provide new insights into the study of these effects based on asymmetric analysis. Our empirical study is based on the monthly frequency of 22 OECD countries and ranges from January 2000 to June 2021. Using the Nonlinear Autoregressive Distributed Lag (NARDL) panel model, we find that economic policy uncertainty, interest rate and oil price uncertainty have disproportionately asymmetric effects on OECD investor sentiment in the short and long run. Indeed, when occurring volatility of these variables, investors will certainly adopt, according to their sentiments, different directions and strategies of investment decision-making.
Databáze:	Directory of Open Access Journals
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