Original paper
Trade Policy Uncertainty, Market Return, and Expected Return Predictability
Abstract
Using the Trade Policy Uncertainty (TPU) index as a proxy for the level of trade policy uncertainty in the U.S. economy, we study the impact of the level of trade policy uncertainty on the conditional mean of market returns. Additionally, we investigate the predictive power of trade policy uncertainty on future market returns. Our findings show that after accounting for business cycle effects, TPU does not impact contemporaneous market returns....
Paper Details
Title
Trade Policy Uncertainty, Market Return, and Expected Return Predictability
Published Date
Jun 15, 2021
Journal
Volume
9
Issue
3
Pages
106 - 114
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Notes
History