Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/303885 
Year of Publication: 
2022
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 10 [Issue:] 1 [Article No.:] 2151113 [Year:] 2022 [Pages:] 1-18
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The question of the economic policy uncertainty, interest rate and oil price volatility and their effects on investor sentiment is rarely addressed by the literature. Thus, we are motivated to provide new insights into the study of these effects based on asymmetric analysis. Our empirical study is based on the monthly frequency of 22 OECD countries and ranges from January 2000 to June 2021. Using the Nonlinear Autoregressive Distributed Lag (NARDL) panel model, we find that economic policy uncertainty, interest rate and oil price uncertainty have disproportionately asymmetric effects on OECD investor sentiment in the short and long run. Indeed, when occurring volatility of these variables, investors will certainly adopt, according to their sentiments, different directions and strategies of investment decision-making.
Subjects: 
asymmetric relationships
Economic policy uncertainty
interest rate
investor sentiment
NARDL
oil price volatility
JEL: 
E44
E71
G41
Q43
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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