Higher-order co-moment contagion during Trump’s second presidential term: A trade policy uncertainty perspective

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-07-01 DOI:10.1016/j.ribaf.2025.103028

Elie Bouri , Naji Jalkh , Ender Demir

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Abstract

Donald Trump's second presidential term continues to shape economic and trade policies as well as the dynamics of financial markets. In this paper, we examine whether U.S. trade policy uncertainty (TPU) under Trump’s second term triggers financial contagion with asset classes through higher-order moments of asset returns. Our analysis extends recent studies that consider abnormal returns and the dynamics of asset correlations around the tariffs announcements and contributes to the literature that links political transitions and trade policy uncertainty with financial markets beyond the first and second moments by considering higher-order comoment contagion. Using daily data on U.S. equities, U.S. treasury and corporate bonds, U.S. dollar index, gold, crude oil, and Bitcoin, we consider the 2024 U.S. presidential election, 2025 presidential inauguration, and liberation day. Overall, the results show evidence of contagion in co-volatility, co-skewness, and co-kurtosis between US trade policy uncertainty and each of the examined assets following the three events. This highlights the substantial exposure of these assets to Trump's proposed tariffs, which has important implications for the decision-making processes of various economic actors.

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特朗普第二任期的高阶共矩传染：贸易政策不确定性视角

唐纳德·特朗普的第二个总统任期继续影响着经济和贸易政策以及金融市场的动态。在本文中，我们考察了特朗普第二任期下的美国贸易政策不确定性（TPU）是否会通过资产回报的高阶矩触发资产类别的金融传染。我们的分析扩展了最近的研究，这些研究考虑了关税公告周围的异常回报和资产相关性动态，并通过考虑高阶评论传染，为将政治过渡和贸易政策不确定性与第一和第二时刻以外的金融市场联系起来的文献做出了贡献。根据美国股票、美国国债和公司债券、美元指数、黄金、原油和比特币的每日数据，我们认为2024年 美国总统选举，2025年总统就职，解放日。总体而言，结果显示，在这三次事件之后，美国贸易政策不确定性与每一项被调查资产之间的共波动性、共偏性和共峰度都存在传染的证据。这凸显了这些资产对特朗普提议的关税的巨大敞口，这对各种经济行为体的决策过程具有重要影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance