Chinese Economic Policy Uncertainty and the Cross-Section of U.S. Asset Returns

Autor:	Kiryoung Lee, Yoontae Jeon, Eun-Young Nam
Rok vydání:	2021
Předmět:	Economics and Econometrics Equity (economics) Bond media_common.quotation_subject Risk premium Monetary economics Recession Shock (economics) Economics Bond market Explanatory power Empirical evidence Finance media_common
Zdroj:	International Review of Economics & Finance. 76:1063-1077
ISSN:	1059-0560
DOI:	10.1016/j.iref.2021.08.011
Popis:	We find that Chinese EPU shocks can explain 40% of the cross-sectional variation in bond returns. We also find that Chinese EPU shocks command a significant negative risk premia. In contrast to a strong explanatory power for bond markets, we do not find meaningful pricing power of Chinese EPU for equity markets. We argue and provide supporting empirical evidence that this result is attributable to the fact that Chinese EPU has a strong influence on the U.S. economy mainly during recessions. Overall, our findings suggest that a foreign EPU shock could be a potentially important factor in explaining bond returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::51790c329eb6c82baf1d5998a44711c5 https://doi.org/10.1016/j.iref.2021.08.011 Zobrazit plný text záznamu Full Text from ScienceDirect