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

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  • Zhifang He
  • Jie Zheng

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.

Suggested Citation

  • Zhifang He & Jie Zheng, 2024. "Impacts of economic policy uncertainty on the time-varying risk–return relationship: evidence from G7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 31(4), pages 270-274, February.
    • Handle: RePEc:taf:apeclt:v:31:y:2024:i:4:p:270-274
    DOI: 10.1080/13504851.2022.2131709
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