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Re-Investigating the degree of persistence of U.S. economic policy uncertainty using the Fourier non-linear quantile unit root test

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  • Yi-Ting Peng
  • Tsangyao Chang
  • Omid Ranjbar

Abstract

This research tests the mean reversion properties of the U.S. EPU (economic policy uncertainty) index and its 11 sub-categories using the Fourier non-linear quantile unit root test over the period 1985M1-2020M12. The results indicate the following. (1) The U.S. EPU index responds asymmetrically to shocks, in which positive shocks are more long-lasting than negative shocks. (2) Monetary, fiscal, and trade policies and also national security and regulation series behave like unit root processes in all quartiles, whereas by contrast financial regulation and sovereign debt exhibit stationary behaviour over all quantiles. (3) Government spending, health care, national security, and entitlement programmes present stationary processes in low/high quantiles.

Suggested Citation

  • Yi-Ting Peng & Tsangyao Chang & Omid Ranjbar, 2022. "Re-Investigating the degree of persistence of U.S. economic policy uncertainty using the Fourier non-linear quantile unit root test," Applied Economics, Taylor & Francis Journals, vol. 54(39), pages 4586-4595, August.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:39:p:4586-4595
    DOI: 10.1080/00036846.2022.2032584
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    1. Yi‐Ting Peng & Tsangyao Chang & Omid Ranjbar, 2022. "Analyzing the degree of persistence of economic policy uncertainty using linear and non‐linear fourier quantile unit root tests," Manchester School, University of Manchester, vol. 90(4), pages 453-471, July.

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