The time-frequency-quantile causal impact of Cable News-based Economic Policy Uncertainty on major assets returns

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dc.authorid0000-0002-6459-9898en_US
dc.contributor.authorAdebayo, Tomiwa Sunday
dc.contributor.authorÖzkan, Oktay
dc.contributor.authorSofuoğlu, Emrah
dc.contributor.authorUsman, Ojonugwa
dc.date.accessioned2024-07-12T07:33:42Z
dc.date.available2024-07-12T07:33:42Z
dc.date.issued2024en_US
dc.departmentFakülteler, İşletme Fakültesi, İktisat Bölümüen_US
dc.description.abstractAfter the collapse of the equity market in the early 2000s, the question of the drivers of financial assets returns preoccupied the interest of investors and policymakers in financial markets. Thus, this study explores how newly developed Cable News-based Economic Policy Uncertainty (TVEPU) predicts major assets returns using daily data from 1 January 2014 to 30 September 2023. To achieve this objective, we introduced the Rolling Windows Wavelet Quantile Granger Causality (RWWQGC) test. The empirical results show that TVEPU tends to have predictive power for SP500 across time, frequency, and quantile. The results also show that TVEPU has a strong causal impact on major financial assets returns across time, frequency, and quantile. However, the predictive power of TVEPU for the US 10-year bond, US dollar index, and Bitcoin is weak across time, frequency, and quantile. Based on these results, policy recommendations are offered.en_US
dc.identifier.doi10.1080/10293523.2024.2358589en_US
dc.identifier.scopus2-s2.0-85197406907en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/7342
dc.identifier.urihttps://doi.org/10.1080/10293523.2024.2358589
dc.identifier.wosWOS:001257054300001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherInvestment Analysts Society of South Africaen_US
dc.relation.ispartofInvestment Analysts Journalen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/embargoedAccessen_US
dc.subjectCable news-based EPU; major assets returns; causality; time-frequency-quantileen_US
dc.titleThe time-frequency-quantile causal impact of Cable News-based Economic Policy Uncertainty on major assets returnsen_US
dc.typeArticleen_US

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