Author Details

This paper analyses the impact of monthly changes in EPU index of India (constructed by Baker, Bloom and Davis in 2012) on the BSE Healthcare Index returns that is representative and consists primarily of the pharma sector stocks. Impulse Response Analysis is carried out to determine the response of BSE Healthcare Index returns to the shocks in the EPU Index.

The paper has the objective to find out if there is a causal relationship between EPU index and the returns on the BSE Healthcare Index. The results show that there is evidence of a causal relationship between EPU index and the returns on BSE Healthcare Index as seen from the results of the Granger Causality tests and the Impulse Response Function analysis.

Keywords

Economic Policy Uncertainty, Granger Causality, Impulse Response, Robust Regression, Causal, Vector Autoregression, Co-Integration.

Full Text

References

Baker, S., Bloom, N., & Davis, S. (n.d.). Measuring Economic Policy Uncertainty. SSRN JournalSSRN Electronic Journal. doi:2012

Enders, W. (1995). Applied econometric time series. New York: Wiley

Gujarati, D. (2003). Basic econometrics. Boston: McGraw-Hill

Hermes, N., &Lensink, R. (n.d.). Capital flight and the uncertainty of government policies. Economics Letters, 377-381. doi:2001

Hyndman, R. J., &Athanasopoulos, G. (2013, October 17). 9.2 Vector autoregressions. Retrieved January 23, 2017, from https://www.otexts.org/fpp/9/2

Pfaff, B., Dr., & Taunus, K. I. (2007, September 09). Using the VARS package. Retrieved January 23, 2017, from http://ftp.unbayreuth.de/math/statlib/R/CRAN/doc/vignettes/vars/

Pfaff, B. (2016). Financial Risk Modelling and Portfolio Optimization with R (2nd ed.). Wiley

Pindyck, R. (n.d.). Irreversibility, Uncertainty, and Investment. WP#3137-90-EFA. doi:March 1990

Username
Password
Remember me