Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market

Xiao-Ming Li, Bing Zhang and Ruzhao Gao

Economics Letters, 2015, vol. 132, issue C, 91-96

Abstract: 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.

Keywords: Policy uncertainty shock; Stock–bond correlation; Asymmetry (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (73)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:132:y:2015:i:c:p:91-96

DOI: 10.1016/j.econlet.2015.04.013

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