ECONOMIC POLICY UNCERTAINTY AND FOREIGN HOLDINGS OF US TREASURIES: THE GLOBAL EVIDENCE

Shan Wu, Yuqin Zhou, Zhenhua Liu and Mu Tong
Additional contact information
Shan Wu: School of Finance, Nanjing University of Finance and Economics, Nanjing, P. R. China
Yuqin Zhou: ��School of Economics and Management, Chongqing Normal University, Chongqing, P. R. China
Zhenhua Liu: ��School of Economics and Management, China University of Mining and Technology, Xuzhou, P. R. China
Mu Tong: �School of Economic Information Engineering, Southwestern University of Finance and Economics, Chengdu, P. R. China

The Singapore Economic Review (SER), 2025, vol. 70, issue 02, 325-342

Abstract: In the context of the increasing global economic policy uncertainty (EPU) and the gradual reduction of US Treasuries holdings in many countries, based on the ADCC-GARCH model and sensitivity analysis, we find that the relative increase of instability in the global economic system will affect foreign investors’ decision-making of investing in the US Treasuries, especially during the high uncertainty period. Shocks in global uncertainty significantly and negatively explain most samples’ time-varying correlations with a lag of one or two months. To some extent, the sustainability and investors’ inherent understanding of US Treasuries’ safety has been shaken in the recent years. Our findings hold important implications for both foreign investors and financial advisors who are interested in US Treasuries.

Keywords: Foreign holdings of US treasuries; economic policy uncertainty; sensitivity analysis; ADCC-GARCH (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217590821500284
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:serxxx:v:70:y:2025:i:02:n:s0217590821500284

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217590821500284

Access Statistics for this article

The Singapore Economic Review (SER) is currently edited by Euston Quah

More articles in The Singapore Economic Review (SER) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().