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This study re-examined the causal relationship between economic policy uncertainty (EPU) and stock indices for Organization for Economic Co-operation and Development (OECD) and non-OECD countries. To this aim, it applied the lag-augmented vector autoregression model with a time-varying Granger causality test . Based on the standard Granger causality test results, only afew countries demonstrated acausal relationship between two variables. However, the empirical findings using of time-varying Granger causality test indicate that the causal relationship between the two variables is not present for the entire period, but it is present for some sub-periods in many countries. Additionally, the results found that causality running from stock indices to EPU (stock price-leading hypothesis) for many periods and countries. The results indicate that the relationship between two variables is not constant, meaning that it changes from one period to the next in many countries.

applied economics letters

The causal relationship between economic policy uncertainty and stock indices in OECD and non-OECD countries: evidence from time-varying Granger causality tests on a lag-augmented VAR model