政策不确定性敏感性、COVID-19和美国的行业回报

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2022-07-13 DOI:10.17811/ebl.11.3.2022.107-117

Asil Azimli

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引用次数: 0

摘要

本文研究了经济政策不确定性（EPU）敏感性较高的行业是否也对新冠肺炎疫情的演变做出了不同的反应。最初，根据行业对美国经济衰退冲击的敏感性，将其划分为十分位数投资组合，然后投资组合回报率分别以每日病例和死亡人数的变化为条件。在控制了股票回报的标准风险因素后，案例和死亡都不会对具有最高负EPU敞口的投资组合的回报产生重大影响。然而，对美国-欧盟冲击做出积极反应的行业也对病例和死亡人数的增加做出了积极反应。

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Policy uncertainty sensitivity, COVID-19 and industry returns in the United States

This paper examines if industries with higher economic policy uncertainty (EPU) sensitivity also respond differently to the evolution of COVID-19 pandemic. Initially, industries are allocated into decile portfolios according to their sensitivity to the US-EPU shocks, then portfolio returns are conditioned against changes in daily cases and deaths, respectively. After controlling for the standard risk-factors of equity returns, neither the cases nor deaths can load significantly against the returns of portfolio with the highest negative EPU exposure. However, industries which respond positively to the US-EPU shocks also respond positively to increases in cases and deaths.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.