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Published Paper
1544-6123
Finance Research Letters
The lead–lag relationship of US fiscal policy uncertainty: New evidence from R² decomposed connectedness measures
D Gabauer, THN Dang, CP Nguyen
DOI:
Keywords:
US, Fiscal policy uncertainty, Fiscal policy spillovers, Dynamic connectedness
Cảnh Nguyễn
Abstract
This study examines the dynamic interdependencies between US fiscal policy uncertainty, federal funds effective rate, industrial production, gross federal debt, VIX, and WTI crude oil using monthly data from February 1990 to May 2025.
D Gabauer, THN Dang, CP Nguyen (2025), "The lead–lag relationship of US fiscal policy uncertainty: New evidence from R² decomposed connectedness measures", Finance Research Letters, 86, DOI: doi.org/10.1016/j.frl.2025.108721
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