Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis

被引：81

作者：

Bekiros, Stelios ^{[1
,2
]}

Gupta, Rangan ^{[1
,3
]}

Majumdar, Anandamayee ^{[4
]}

机构：

[1] IPAG Business Sch, 184 Blvd St Germain, F-75006 Paris, France

[2] EUI, Dept Econ, Via Piazzuola 43, I-50133 Florence, Italy

[3] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[4] Soochow Univ, Ctr Adv Stat & Econometr, Suzhou, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2016年 / 18卷

基金：

欧盟地平线“2020”;

关键词：

Stock markets; Economic uncertainty; Predictability; Quantile regression; IMPACT; VOLATILITY; SHOCKS;

D O I：

10.1016/j.frl.2016.01.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Information on economic policy uncertainty does matter in predicting the US equity premium, especially when accounting for structural instabilities and omitted nonlinearities in their relationship, via a quantile predictive regression approach over the monthly period 1900:1-2014:2. Unlike as suggested by a linear mean-based predictive model, the extended quantile regression model with the incorporation of the EPU proxy, enhances significantly the out-of-sample stock return predictability. This is observed especially when the market is neutral, exhibits a slide or mildly upward trending behavior, yet not when the market appears to turn highly bullish. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：291 / 296

页数：6

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