Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264826 
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. 234
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
Using causal graphs, this paper develops a simple check to uncover the direction of the causal link between economic policy uncertainty and stock market volatility. The check is applied to monthly data for 22 countries. The results imply that uncertainty is an instantaneous cause of stock market volatility. Estimates suggest that stock market volatility increases by 0.15% to 0.85% after a 1% increase in economic policy uncertainty.
Subjects: 
Causal inference
Causal graph
Economic policy uncertainty
Stock market volatility
JEL: 
C12
D80
E66
G10
Document Type: 
Working Paper

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