Uncertainty about Government Policy and Stock Prices
构建一般均衡模型，分析政府政策不确定性如何影响股票价格，发现政策宣布时股价平均下跌，且跌幅在政策不确定性大或经济衰退短浅时更大。
ABSTRACT We analyze how changes in government policy affect stock prices. Our general equilibrium model features uncertainty about government policy and a government whose decisions have both economic and noneconomic motives. The model makes numerous empirical predictions. Stock prices should fall at the announcement of a policy change, on average. The price decline should be large if uncertainty about government policy is large, and also if the policy change is preceded by a short or shallow economic downturn. Policy changes should increase volatilities and correlations among stocks. The jump risk premium associated with policy decisions should be positive, on average.