美国股市中各行业对经济政策不确定性和地缘政治风险的反应

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE
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引用次数: 0

摘要

我们研究了经济政策不确定性和地缘政治风险对各行业的影响,强调了它们对行业波动性的不对称影响。此外,我们还研究了经济政策不确定性和地缘政治风险对行业波动性的不同影响,区分了好的波动性反应和坏的波动性反应。我们发现,在这些行业中,经济政策不确定性和地缘政治风险之间存在非对称关系,与地缘政治风险相比,经济政策不确定性对行业波动性的影响通常更大。在 2010 年代以来的正常情况下,地缘政治风险对特定行业波动率的影响相对较小。然而,在某些危机时期,经济政策的不确定性和地缘政治风险都对多个行业产生了重大影响,其中地缘政治风险表现出短期效应。这些发现对投资者和政策制定者都有重要意义。投资者可以利用对政策不确定性和地缘政治风险的洞察力来把握时机,而政策制定者则可以识别易受影响的行业。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market

We examine the impact of economic policy uncertainty and geopolitical risk on various industries, highlighting their asymmetric effects on sectoral volatility. Furthermore, we investigate the differential effects of economic policy uncertainty and geopolitical risk on sectoral volatility, distinguishing between good and bad volatility responses. We find an asymmetric relationship between economic policy uncertainty and geopolitical risk in these industries, with economic policy uncertainty generally exerting a stronger impact on sector-specific volatility compared to geopolitical risk. During normal circumstances since the 2010s, the influence of geopolitical risk on sector-specific volatility has been relatively insignificant. However, both economic policy uncertainty and geopolitical risk have played significant roles in affecting multiple sectors during certain crisis periods, with geopolitical risk demonstrating short-term effects. These findings have important implications for both investors and policymakers. Investors can time positions using insights on policy uncertainty and geopolitical risk, while policymakers can identify vulnerable sectors.

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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
期刊介绍: International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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