ScienceDirect Publication: Finance Research Letters
Tue, 19 Nov 2019 12:01:41 GMT language
Publication date: December 2019
Source: Finance Research Letters, Volume 31
Author(s): Aviral Kumar Tiwari, R.K. Jana, David Roubaud
This article communicates a new dimension on the relationship of market volatility (VIX) and Economic Policy Uncertainty (EPU) using the propositions of Pastor and Veronesi (2017) and Das and Kumar (2018) by resorting to the wavelet analysis. We empirically examine the VIX-EPU puzzle and investigate the role of international and domestic policy shocks. We find (a) The VIX-EPU relationship is not always positive and is time-variant; (b) The combined DEPU-USEPU influence on VIX is more coherent to the developed markets; and (c) The VIX of the developed markets are more receptive to USEPU.