Unraveling economic Policy Uncertainty: a study on the effects of category-specific US policy uncertainty on the Philippine stock market
| dc.contributor.advisor | Escresa, Laarni C. | |
| dc.contributor.author | Juico, Miguel Antonio N. | |
| dc.contributor.author | Monje, Justin Philip Abraham B. | |
| dc.date.accessioned | 2024-09-30T05:50:01Z | |
| dc.date.available | 2024-09-30T05:50:01Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | This study investigates the impact of categorical US policy uncertainty on Philippine stock prices and tests for the existence of long-run relationships between them. We use five categories from the US economic policy uncertainty index developed by Baker et al. (2013), namely monetary, regulation, government spending, trade, and sovereign debt policy uncertainty, and the values of the Philippine Stock Exchange PSEi Index in providing an Autoregressive Distributed Lag (ARDL) model. We find that monetary and lagged values of trade policy uncertainty negatively affect PH stock prices, while government spending and lagged values of regulation have a positive relationship with it. We then employ an ARDL Bounds Test and find that there exists a negative relationship between the PSEi and monetary and trade policy uncertainty, and that only government spending policy uncertainty has a positive relationship with it. The results may be explained, in part, by macroeconomic effects of US EPU and their consequent effects to stock prices. Investors’ risk aversion and the Efficient Market Hypothesis, meanwhile, shows the mechanisms through which categorical US EPU affected Philippine equities. | |
| dc.identifier.uri | https://selib.upd.edu.ph/etdir/handle/123456789/500 | |
| dc.language.iso | en | |
| dc.subject | economic policy uncertainty | |
| dc.subject | Philippine stock market | |
| dc.title | Unraveling economic Policy Uncertainty: a study on the effects of category-specific US policy uncertainty on the Philippine stock market | |
| dc.type | Thesis |