Impacts of economic policy uncertainty on the time-varying risk-return relationship: evidence from G7 countries

被引：2

作者：

He, Zhifang ^{[1
]}

Zheng, Jie ^{[1
]}

机构：

[1] Jiangnan Univ, Sch Business, Wuxi 214122, Jiangsu, Peoples R China

来源：

APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 04期

基金：

美国国家科学基金会;

关键词：

Economic policy uncertainty; risk-return relationship; GARCH-M model; G7; countries; STOCK-MARKET RETURNS; INVESTOR SENTIMENT; VOLATILITY;

D O I：

10.1080/13504851.2022.2131709

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper examines the impact of country-specific and global economic policy uncertainty (EPU) on the time-varying risk - return relationship in G7 stock markets and explores whether this impact is significantly different during the 2008 Global Financial Crisis (GFC). Empirical results suggest that the risk - return trade-off varies with many factors. More importantly, we find that both the national and global EPU shocks have significant and negative impacts on the time-varying risk - return relationship in all G7 countries, and these negative impacts increase and intensify during the GFC.

引用

页码：270 / 274

页数：5

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