关 键 词 ：EPU指数；恐慌指数；VAR模型；双向均值传递学科分类：经济学--金融学
With the development of the world economic pattern, the impact of international politics on the stock market is becoming more and more obvious. It's well-known that the adjustment of economic policy may cause the panic of the financial market's participants. And the huge fluctuation of the financial market may lead to the change of economic policy. But the empirical study on this point still has considerable space to explore. The research on the relationship between economic policy and fluctuation of finances will have a great impact on the stability of the whole economic market and financial investment behavior. In the research, the bidirectional Granger causal relationship between the Economic Policy Uncertainty index (EPU) and Volatility Index (VIX) is detected by the Granger causality model. That means the changes in either index will directly affect another index. In the result of the VAR model, the coefficients of the effects from lags of VIX to EPU are almost insignificant. However, that of the effects from lags of EPU to VIX are all significant. Consistent results are also obtained from impulse response analysis and variance decomposition. Numerically, the impact of VIX on EPU is weaker than that of VIX on EPU.EPU can be a good lead indicator of VIX, while VIX has a relatively small effect on EPU. Investors can adjust their positions in time through EPU, while regulators can guide the stock market with EPU.