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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
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    References listed on IDEAS

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    Cited by:

    1. Yingting Yi & Jiangshui Luo & Michael Wübbenhorst, 2020. "Research on political instability, uncertainty and risk during 1953–2019: a scientometric review," Scientometrics, Springer;Akadémiai Kiadó, vol. 123(2), pages 1051-1076, May.
    2. Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020. "Are Uncertainties across the World Convergent?," Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
    3. Li, Haiping & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country," Finance Research Letters, Elsevier, vol. 32(C).

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    More about this item

    Keywords

    News-based uncertainty; policy uncertainty; EPU; excess stock returns; oil markets; SVAR methodology;
    All these keywords.

    JEL classification:

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

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