Return to search

Political Uncertainty and the Us Market Risk Premium

Purpose: The purpose of this study is to examine the bi-directional causality between political uncertainty and the market risk premium in the US. Design/methodology/approach: I use a theoretical model to motivate signs and then check signs based on a vector autoregression. Findings: I find that political uncertainty has a small positive, delayed effect on the market risk premium. The market risk premium, on the other hand, has a large permanent, negative effect on political uncertainty. Originality/value: This is the first research paper to consider the bi-directional effects of political uncertainty on the market risk premium and vice versa. It also finds interesting empirical results.

Identiferoai:union.ndltd.org:ETSU/oai:dc.etsu.edu:etsu-works-10577
Date01 January 2020
CreatorsGregory, Richard P.
PublisherDigital Commons @ East Tennessee State University
Source SetsEast Tennessee State University
Detected LanguageEnglish
Typetext
SourceETSU Faculty Works

Page generated in 0.0018 seconds