کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5058499 | 1476631 | 2015 | 6 صفحه PDF | دانلود رایگان |
- Innovations in the policy uncertainty index impact negatively on the correlations.
- We quantify the effects of policy uncertainty shocks on stock-bond correlations.
- We adopt a novel approach to distinguishing between positive and negative shocks.
- The advent of the Euro has not changed the sign of the effects.
- Dynamic correlations are characterized by positive-type asymmetry.
This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy uncertainty index impact negatively and asymmetrically on the subsequent stock-bond correlations which are characterized by a structural break and positive-type asymmetry.
Journal: Economics Letters - Volume 132, July 2015, Pages 91-96