Economic Policy Uncertainty and Investor Sentiment: linear and nonlinear causality analysis

被引：27
|
作者：
Zhang, Bing [1 ]
机构：
[1] Nanjing Univ, Sch Business, Nanjing, Jiangsu, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2019年 / 26卷 / 15期
关键词：
Economic policy uncertainty index; investor sentiment; Granger test; linear; GRANGER CAUSALITY;
D O I：
10.1080/13504851.2018.1545073
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we study the relationship between economic policy uncertainty and investor sentiment. US data were analysed based on linear and non-linear Granger causality analysis. We reveal the obvious impact that economic policy uncertainty has on the investor sentiment, which can be explained by the real option and financial constraint theory.
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收藏
页码：1264 / 1268
页数：5
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