Causality between Economic Policy Uncertainty across Countries: Evidence from Linear and Nonlinear Tests
Following the 2007-2009 global recession, economic policy uncertainty and its effect on economic recovery has become an issue of interest in academic, media as well as policy-making circles (Baker et al., 2013). Given this backdrop, we investigate causality between economic policy uncertainty in some of the world's major economies using the economic policy uncertainty index developed by Baker et al. (2013). We implement both the traditional linear and the nonlinear variants of the Granger causality test. Based on the Diks and Panchenko (2005) non-linear Granger causality test, we find significant evidence of bidirectional causality between countries' economic policy uncertainty across the sample. The results are consistent with the fact that the global economy has become more integrated through trade, financial and confidence linkages. Also, our findings highlight that inference from traditional (linear) Granger causality test can be misleading in the presence of non-linearity in the data.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Oct 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+2712) 420 2413
Fax: (+2712) 362-5207
Web page: http://www.up.ac.za/economics
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201361. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta)
If references are entirely missing, you can add them using this form.