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Comment l'incertitude à l'égard de la politique économique peut-elle affecter le marché boursier français dans un environnement riche en données ?

Author

Listed:
  • Donia Aloui
  • Abderrazek Ben Maatoug

Abstract

We use the European economic policy uncertainty index proposed by Baker et al. (2016) to examine the effect of the dissemination of information related to economic policy in the euro zone on the behavior of investors in the French stock market. Using a FAVAR model, we show that a decrease in economic policy uncertainty has positive effects on stock prices as well as on the level of the risk premium for the French stock market. JEL classification: C01, C32, C38, E60, G12.

Suggested Citation

  • Donia Aloui & Abderrazek Ben Maatoug, 2023. "Comment l'incertitude à l'égard de la politique économique peut-elle affecter le marché boursier français dans un environnement riche en données ?," Revue d'économie financière, Association d'économie financière, vol. 0(4), pages 275-288.
    • Handle: RePEc:cai:refaef:ecofi_152_0275
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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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