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Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market

9 references·16 citing·48 second hopsampled

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References

2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
2013Measuring Economic Policy Uncertainty858 cited
2005Stock Market Uncertainty and the Stock-Bond Return Relation655 cited
2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty553 cited
2013Economic policy uncertainty in the US: Does it matter for the Euro area?530 cited
2014International spillovers of policy uncertainty252 cited
2014Economic policy uncertainty, financial markets and probability of US recessions247 cited
2012The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model193 cited

Cited by

2018Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective120 cited
2020How does economic policy uncertainty affect the bitcoin market?120 cited
2017The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets119 cited
2020How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique117 cited
2022

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Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data

110 cited

2020Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?109 cited

2020Impacts of geopolitical risks and economic policy uncertainty on Chinese tourism‐listed company stock99 cited

2022Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics98 cited

2020Economic policy uncertainty and the Bitcoin-US stock nexus91 cited

2019Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression85 cited

2016Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?82 cited

2020A global economic policy uncertainty index from principal component analysis81 cited

2017Directional predictability from oil market uncertainty to sovereign credit spreads of oil-exporting countries: Evidence from rolling windows and crossquantilogram analysis80 cited

2022Non-linear nexus between economic policy uncertainty and bank lending57 cited

2021Green bond market and Sentiment: Is there a switching Behaviour?49 cited

2020Investor sentiment and the economic policy uncertainty premium47 cited