Are Disaggregated Industrial Returns Sensitive to Economic Policy Uncertainty

Ur Rehman, Mobeen and Asghar, Nadia and Hussain, Javed (2019) Are Disaggregated Industrial Returns Sensitive to Economic Policy Uncertainty. Physica A: Statistical Mechanics and its Applications, 527 (1). pp. 121-301. ISSN 0378-4371

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Abstract

This study investigates the impact of economic policy uncertainty on disaggregate US sector based returns. Our work is motivated by the presence of non-linear relationship between US economic policy uncertainty and equity returns of sampled US sectors. The paper uses weekly data from January 1995 to December 2015 for all the return indices and economic policy uncertainty data mainly based on policy issues, provision set for the US federal tax code and disagreement among economic forecasters. Our results indicate that information technology, utilities, industrial and telecommunication sectors remain insensitive to changes in the US economic policy uncertainty. However, financial and the consumer discretionary sectors show significant long run asymmetric relationship with the EPU.

Item Type: Article
Identification Number: doi.org/10.1016/j.physa.2019.121301
Date: 1 August 2019
Uncontrolled Keywords: Economic policy uncertainty; NARDL; Sectorial returns
Subjects: N300 Finance
Divisions: Faculty of Business, Law and Social Sciences > Birmingham City Business School > Department of Accounting, Finance and Economics
Depositing User: Javed Hussain
Date Deposited: 15 Aug 2019 13:42
Last Modified: 15 Aug 2019 13:42
URI: http://www.open-access.bcu.ac.uk/id/eprint/7833

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