How does economic policy uncertainty interact with sovereign bond yield? Evidence from the US
Abstract
This paper proposed a multi-scale correlations perspective to explore the relationship between economic policy uncertainty and sovereign bond yield in the United States, using the Ensemble EMD decomposition algorithm and Pearson correlation coefficient. Results show that these two variables exhibit a completely opposite linear relationship in the long-term trend before and after 27 April 2009, indicating that there is obvious conversion of stage...
Paper Details
Title
How does economic policy uncertainty interact with sovereign bond yield? Evidence from the US
Published Date
Jan 1, 2017
Journal
Volume
122
Pages
154 - 158
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