Exploring the Relationship between Economic Policy Uncertainty and Financial Stress Indices of the US: Evidence from Fourier Series Approximation Procedures

Yıl 2021, Cilt: 16 Sayı: 61, 62 - 76, 31.01.2021

Mustafa Erhan Bilman , Sadik Karaoğlan

https://doi.org/10.19168/jyasar.835956

Öz

We investigate the relationship between economic policy uncertainty (EPU) and St. Louis Fed’s financial stress (FS) indices for the US by using monthly data for the period 2013:1 – 2019:6 and employing linear (conventional) as well as nonlinear (exponential) unit root tests; nonlinear (exponential smooth transition autoregressive- ESTAR) cointegration test initially introduced by Kapetanios, Shin, and Snell (2006) (KSS) and residual-based Fourier cointegration test suggested by Yılancı (2019); conventional and Fourier Granger causality tests as well as asymmetric causality tests. Empirical findings from these procedures can be classified into three major categories: (i) The results from the KSS and residual-based Fourier cointegration analyses confirm each other that a long-run equilibrium exists between EPU and FS. (ii) Estimations from the Fourier Granger causality test that allows for structural breaks of unknown number and form unveiled that there is a one-way causality running from FS to EPU, a finding that contrasts with the one from the conventional procedure which shows a two-way causality. (iii) Finally, while the findings from the asymmetric causality testing procedure verified that a one-way causality exists running from the negative and positive components of FS to the negative and positive components of EPU, respectively; we found no evidence for such an asymmetric causality running from EPU to FS. These findings we believe shed a bright light on a major policy suggestion that the US policy makers should implement policies that stabilize the stress on the financial markets so as to leash the uncertainty associated with economic policies.

Anahtar Kelimeler

Economic policy uncertainty, Financial stress, Fourier series approximation, asymmetric causality, ESTAR cointegration test

Destekleyen Kurum

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Proje Numarası

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Teşekkür

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ABD’nin Ekonomi Politikası Belirsizliği ve Finansal Baskı Endeksleri Arasındaki İlişkinin Araştırılması: Fourier Serisi Yaklaşımı Yöntemlerinden Kanıtlar

Öz

Bu çalışmada, ABD’nin ekonomi politikası belirsizliği (EPU) ve St. Louis Fed’in finansal baskı (FS) endeksleri arasındaki ilişkiler, 2013:1-2019:6 dönemini kapsayan aylık veriler kullanılarak yürütülen doğrusal (geleneksel) ve doğrusal olmayan (üstel) birim kök testleri; Kapetanios, Shin ve Snell (2006) (KSS) tarafından literatüre kazandırılan doğrusal olmayan (üstel yumuşak geçişli otoregresif- ESTAR) eşbütünleşme testi ve Yılancı (2019) tarafından geliştirilen kalıntı temelli Fourier eşbütünleşme testi; geleneksel Granger nedensellik, Fourier Granger nedensellik ve asimetrik nedensellik testleri aracılığıyla keşfedilmeye çalışılmaktadır. Ampirik analizlerden edinilen bulgular üç ayrı kümede özetlenebilir: (i) KSS ve kalıntı temelli Fourier eşbütünleşme testlerinden sağlanan bulgular birbirini destekler niteliktedir; yani, bu bulgular EPU ile FS arasında uzun dönemli bir denge ilişkisinin varlığını ortaya koymaktadır. (ii) EPU ile FS arasında iki yönlü nedensellik ilişkisinin varlığını gösteren geleneksel Granger nedensellik testinden farklı olarak, bilinmeyen formda ve sayıda yapısal kırılmaları dikkate alan Fourier Granger nedensellik testi, yalnızca FS’den EPU’ya doğru tek yönlü nedensellik ilişkisi olduğuna işaret etmektedir. (iii) Son olarak, asimetrik nedensellik testinden elde edilen sonuçlar, FS’nin negatif ve pozitif bileşeninden EPU’nun sırasıyla negatif ve pozitif bileşenine doğru tek yönlü nedensellik ilişkisinin varlığını kanıtlarken; EPU’dan FS’ye doğru benzer bir asimetrik nedensellik ilişkisinin varlığını desteklememektedir. Bu sonuçların ışığında, ABD’nin ekonomi politikalarının içerdiği belirsizliği dizginlemek amacıyla politika yapıcıların, finansal piyasalardaki baskıyı stabilize edecek politika tedbirlerini uygulamaya koyabilecekleri söylenebilir.

Anahtar Kelimeler

Ekonomi politikası belirsizliği, Finansal baskı, Fourier serisi yaklaşımı, Asimetrik nedensellik, ESTAR eşbütünleşme testi

Proje Numarası

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Kaynakça

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