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Excess stock returns, oil shocks, and policy uncertainty in the U.S

Author

Listed:
  • Giray Gozgor

    () (Istanbul Medeniyet University)

  • Ender Demir

    () (Istanbul Medeniyet University)

Abstract

This paper examines the dynamic relationships among the excess stock returns, oil shocks, and economic policy uncertainty in the United States (U.S). By using 11 different measures of policy uncertainty shocks, we find that excess stock returns to lead a significant policy uncertainty in general, and there are significant effects of the excess stock returns on all policy uncertainties–economic, monetary, and tax policies in particular. In addition, the results highlight that policy uncertainty in the U.S. is also driven by the oil price shocks in the long-run.

Suggested Citation

  • Giray Gozgor & Ender Demir, 2017. "Excess stock returns, oil shocks, and policy uncertainty in the U.S," Economics Bulletin, AccessEcon, vol. 37(2), pages 741-755.
  • Handle: RePEc:ebl:ecbull:eb-17-00090
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    News-based uncertainty; policy uncertainty; EPU; excess stock returns; oil markets; SVAR methodology;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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