Impacts of economic policy uncertainty on the time-varying risk–return relationship: evidence from G7 countries

Zhifang He and Jie Zheng

Applied Economics Letters, 2024, vol. 31, issue 4, 270-274

Abstract: This paper examines the impact of country-specific and global economic policy uncertainty (EPU) on the time-varying risk – return relationship in G7 stock markets and explores whether this impact is significantly different during the 2008 Global Financial Crisis (GFC). Empirical results suggest that the risk – return trade-off varies with many factors. More importantly, we find that both the national and global EPU shocks have significant and negative impacts on the time-varying risk – return relationship in all G7 countries, and these negative impacts increase and intensify during the GFC.

Date: 2024
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DOI: 10.1080/13504851.2022.2131709

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