Economic policy touches most facets of corporate decision-making and variations in policy can elicit significant changes in financial performance and asset prices. We utilize the economic policy uncertainty (EPU) measure of Baker et al. to investigate the extent to which policy uncertainty influences Australian financial market returns. Our empirical results demonstrate that both domestic and global uncertainty have a significant negative impact on excess stock returns, changes in bond yields and Australian dollar (AUD) returns. The relationship is concentrated in the left tail of the return distribution and largely driven by increases in policy uncertainty. Although the identified relationship is negative throughout the sample period, the magnitude of the relationship appears to be state dependent and is influenced by periods of high uncertainty, recession and the lead-up to federal elections. The most plausible explanation for our results is that uncertainty about economic policy is channelled to financial markets via the discount rate effect, resulting in a higher risk premium. Our results are important for investors, corporate managers and policy makers wishing to navigate periods of policy uncertainty.

JEL Classification: G10, G12, G14, G15

经济政策触及公司决策的大多数方面，而政策上的变化可能导致财务业绩和资产价格发生重大变化。我们利用贝克等人的经济政策不确定性（EPU）措施。调查政策不确定性对澳大利亚金融市场回报的影响程度。我们的实证结果表明，国内和全球不确定性对超额股票收益，债券收益率变化和澳元（AUD）收益产生重大负面影响。这种关系集中在收益分配的左尾，并且很大程度上受到政策不确定性增加的驱动。尽管在整个采样期间确定的关系都是负的，但是关系的大小似乎取决于状态，并且受到不确定性高，衰退和联邦大选前期的影响。对于我们的结果，最合理的解释是，经济政策的不确定性通过折现率效应传导到了金融市场，从而导致更高的风险溢价。对于希望渡过政策不确定性时期的投资者，公司经理和决策者，我们的结果非常重要。

JEL分类：G10，G12，G14，G15