Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries
AbstractThe 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 st...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2151113 |
| _version_ | 1811292760361140224 |
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| author | Hassen Guenich Khalfaoui Hamdi Néjib Chouaibi |
| author_facet | Hassen Guenich Khalfaoui Hamdi Néjib Chouaibi |
| author_sort | Hassen Guenich |
| collection | DOAJ |
| description | AbstractThe 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. |
| first_indexed | 2024-04-13T04:50:16Z |
| format | Article |
| id | doaj.art-fe8d5ae2b3fe4935a6266ec8806d4769 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-04-13T04:50:16Z |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-fe8d5ae2b3fe4935a6266ec8806d47692022-12-22T03:01:42ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2151113Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countriesHassen Guenich0Khalfaoui Hamdi1Néjib Chouaibi2LEGI Laboratory, Quantitative Methods at Higher Institute of Computer Science and Management University of Kairouan, Kairouan, TunisiaEconomics and International Finance., PS2D Laboratory, FSEG Tunis, Higher Institute of Computer Sciences and Management, University of Kairouan, Kairouan, TunisiaLEGI Laboratory, Quantitative Methods at Higher Institute of Computer Science and Management University of Kairouan, Kairouan, TunisiaAbstractThe 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.https://www.tandfonline.com/doi/10.1080/23322039.2022.2151113Economic policy uncertaintyinterest rateoil price volatilityinvestor sentimentasymmetric relationshipsNARDL |
| spellingShingle | Hassen Guenich Khalfaoui Hamdi Néjib Chouaibi Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries Cogent Economics & Finance Economic policy uncertainty interest rate oil price volatility investor sentiment asymmetric relationships NARDL |
| title | Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries |
| title_full | Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries |
| title_fullStr | Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries |
| title_full_unstemmed | Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries |
| title_short | Asymmetric response of Investor sentiment to Economic Policy Uncertainty, interest rates and oil price uncertainty: Evidence from OECD countries |
| title_sort | asymmetric response of investor sentiment to economic policy uncertainty interest rates and oil price uncertainty evidence from oecd countries |
| topic | Economic policy uncertainty interest rate oil price volatility investor sentiment asymmetric relationships NARDL |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2151113 |
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