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Relationship between the news-based categorical economic policy uncertainty and US GDP: A mixed-frequency Granger-causality analysis

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  • Hong, Yanran
  • Xu, Pengfei
  • Wang, Lu
  • Pan, Zhigang

Abstract

Uncertainty brought about by the frequent formulation of various economic policies may affect economic development, which could conversely influence policymaking. We attempt to study the causality between each news-based categorical economic policy uncertainty and GDP in the US. We reveal a strong relationship between categorical economic policy uncertainty and GDP. However, trade policy uncertainty cannot impact GDP and there is no causal relationship between GDP and the uncertainty from sovereign debt and currency crises. Therefore, changes in different economic policies aimed at improving the economic status and level of development may also bring new challenges to the current situation.

Suggested Citation

  • Hong, Yanran & Xu, Pengfei & Wang, Lu & Pan, Zhigang, 2022. "Relationship between the news-based categorical economic policy uncertainty and US GDP: A mixed-frequency Granger-causality analysis," Finance Research Letters, Elsevier, vol. 48(C).
    • Handle: RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002641
    DOI: 10.1016/j.frl.2022.103024
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    Cited by:

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    4. Koray Yıldırım & Neşe Algan & Harun Bal, 2024. "Investment Hysteresis: An Empirical Essay Turkish Case," Evaluation Review, , vol. 48(1), pages 143-176, February.

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    More about this item

    Keywords

    Categorical economic policy uncertainty; US GDP; Mixed-frequency; Granger causality;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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