We investigate the roles of global risk aversion and US economic policy uncertainty in contributing to financial and macroeconomic fluctuations in small open economies (SOEs). We use a panel of forty SOEs that includes both advanced economies (AEs) and emerging markets economies (EMEs) to find that SOEs’ financial and economic activities exhibit relatively short-lived and robust reactions to risk aversion shocks, while responding smoothly and persistently to US policy uncertainty shocks, consistent with Bloom et al. (2018). A novel finding of this paper is that the responses of AEs and EMEs are asymmetric: AEs react more strongly to US policy uncertainty shocks while EMEs are more sensitive to risk aversion shocks. These results suggest that the channels through which each shock is transmitted to SOEs may vary.

我们调查了全球风险规避和美国经济政策不确定性在导致小型开放经济体（SOE）的金融和宏观经济波动中的作用。我们使用包括发达经济体（AEs）和新兴市场经济体（EMEs）在内的40个国有企业组成的小组，发现国有企业的金融和经济活动对风险规避冲击表现出相对短暂且有力的反应，同时对之持之以恒。美国政策不确定性的冲击，与布卢姆等人一致。（2018）。本文的一个新发现是，AE和EME的响应是不对称的：AE对美国政策不确定性冲击的反应更强烈，而EME对规避风险的冲击更为敏感。这些结果表明，每种冲击传递给国有企业的渠道可能会有所不同。