Investor Sentiments, Economic Policy Uncertainty, US Interest Rates, and Financial Assets: Examining their Interdependence over Time

The objective of this paper is to examine the interdependence over time between investor sentiments (NSS), economic policy uncertainty (EPU), US interest rates (RTM), and financial assets. It covers the period from March 21, 2017, to March 20, 2023. The study utilizes a quantile VAR-based connectivity technique and wavelet multiple local correlations. The results indicate that shocks are transmitted through investor sentiments and received at the mean in both bullish and bearish market conditions. The values of the coefficients fluctuate over time, particularly during larger scale periods 8-16 as determined by the wavelet multiple local correlations.