Global Political Uncertainty and Asset Prices
研究发现，以美国选举周期衡量的全球政治不确定性平均导致50个非美国国家的股票回报下降，同时市场波动率上升、本币贬值、主权债券回报增加。
Abstract We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political uncertainty on equity prices increases with the level of uncertainty in U.S. election outcomes and a country’s equity market exposure to foreign investors, but does not vary with the country’s international trade exposure. These findings suggest that global political uncertainty increases investors’ aggregate risk aversion, leading to a flight to safety. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.