The effect of EPU spillovers on the bond returns: a cross-country analysis

被引：0

作者：

Gong, Yuting ^{[1
]}

Li, Xiao ^{[2
]}

Xue, Wenjun ^{[1
]}

机构：

[1] Shanghai Univ, SHU UTS SILC Business Sch, Dept Econ & Finance, Shanghai 201800, Peoples R China

[2] Univ Albany, Massry Ctr Business, Dept Finance, Albany, NY USA

来源：

APPLIED ECONOMICS LETTERS | 2025年 / 32卷 / 07期

基金：

中国国家自然科学基金;

关键词：

EPU spillovers; country-level bond returns; multivariate quantile model; international asset pricing; RISK;

D O I：

10.1080/13504851.2023.2292669

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Recognizing the interconnectedness between domestic and foreign economic policy uncertainty (EPU), this article employs a novel method - the multivariate quantile model (White, Kim, and Manganelli 2015) - to develop a clean measure of EPU spillovers. Using a sample of 23 countries between 2006 and 2019, we document solid evidence that countries with higher EPU spillovers observe significantly lower future excess bond returns. This effect becomes stronger during crisis periods and among emerging markets.

引用

页码：922 / 929

页数：8

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