文章基本信息

标题：Economic policy uncertainty, oil price shocks and GCC stock markets
本地全文：下载
作者：Mohamed Arouri ; Christophe Rault ; Frédéric Teulon 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2014
卷号：34
期号：3
出版社：Economics Bulletin
摘要：We contribute to the literature by studying the impact of economic policy uncertainty (EPU) from major net oil importers (USA, Europe and China) on Gulf Cooperation Council (GCC) stock markets. We use panel data methods to estimate different specifications. We find that (i) an increase in EPU affects negatively stock returns (ii) this effect is persistent and interacts with oil price changes and (iii) an increase EPU has a delayed positive effect on volatility.
关键词：Policy uncertainty ; GCC stock markets ; Oil prices.