Article ID Journal Published Year Pages File Type
6901272 Procedia Computer Science 2017 5 Pages PDF
Abstract
This paper proposed a multi-scale correlations perspective to explore the relationship between economic policy uncertainty and sovereign bond yield in the United States, using the Ensemble EMD decomposition algorithm and Pearson correlation coefficient. Results show that these two variables exhibit a completely opposite linear relationship in the long-term trend before and after 27 April 2009, indicating that there is obvious conversion of stage characteristics and the relationship between these two variables is complex. Therefore, further study to investigate this complex relationship using nonlinear correlation measurement is necessary, and all these research will contribute to the policy making of regulators and trading behaviors of investors in the sovereign bond market.
Related Topics
Physical Sciences and Engineering Computer Science Computer Science (General)
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