385
Views
8
CrossRef citations to date
0
Altmetric
Articles

Measuring the degree of persistence in the U.S. economic policy uncertainty index

ORCID Icon &

References

  • Antonakakis, N., I. Chatziantoniou, and G. Filis. 2013. “Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty.” Economics Letters 120: 87–92. doi:10.1016/j.econlet.2013.04.004.
  • Baker, S., N. Bloom, and S. J. Davis. 2012. “Measuring Economic Policy Uncertainty.” University of Chicago and Stanford University. Accessed 15 January 2019. www.policyuncertainty.com
  • Baker, S., N. Bloom, and S. J. Davis. 2016. “Measuring Economic Policy Uncertainty.” Quarterly Journal of Economics 131: 1593–1636. doi:10.1093/qje/qjw024.
  • Bloom, N. 2009. “The Impact of Uncertainty Shocks.” Econometrica 77: 623–685. doi:10.3982/ECTA6248.
  • Bloom, N. 2014. “Fluctuations in Uncertainty.” Journal of Economic Perspectives 28: 153–176. doi:10.1257/jep.28.2.153.
  • Bloomfield, P. 1973. “An Exponential Model in the Spectrum of a Scalar Time Series.” Biometrika 60: 217–226. doi:10.1093/biomet/60.2.217.
  • Caggiano, G., E. Castelnuovo, and J. M. Figueres. 2017. “Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach.” Economics Letters 151: 31–34. doi:10.1016/j.econlet.2016.12.002.
  • Carriero, A., T. Clark, and M. Marcellino. 2018. “Measuring Uncertainty and Its Impact on the Economy.” Review of Economics and Statistics 100: 799–815. doi:10.1162/rest_a_00693.
  • Dahlhaus, R. 1989. “Efficient Parameter Estimation for Self-Similar Process.” Annals of Statistics 17: 1749–1766. doi:10.1214/aos/1176347393.
  • Gil-Alana, L. A., and S. Solarin. 2019. “Persistence of Economic Policy Analysis: Fractional Integration Techniques.” working paper.
  • Kang, W., K. Lee, and R. A. Ratti. 2014. “Economic Policy Uncertainty and Firm-Level Investment.” Journal of Macroeconomics 39: 42–53. doi:10.1016/j.jmacro.2013.10.006.
  • Kido, Y. 2016. “On the Link between U.S. Economic Policy Uncertainty and Exchanges Rates.” Economics Letters 144: 49–52. doi:10.1016/j.econlet.2016.04.022.
  • Nodari, G. 2014. “Financial Regulation Policy Uncertainty and Credit Spread in the U.S.” Journal of Macroeconomics 41: 122–132. doi:10.1016/j.jmacro.2014.05.006.
  • Robinson, P. M. 1994. “Efficient Tests of Nonstationary Hypotheses.” Journal of the American Statistical Association 89: 1420–1437. doi:10.1080/01621459.1994.10476881.
  • Yin, L., and L. Han. 2014. “Macroeconomic Uncertainty: Does It Matter for Commodity Prices?” Applied Economics Letters 21: 711–716. doi:10.1080/13504851.2014.887181.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.