Assessing the impact of policy uncertainty on any macroeconomic variables has recently gained momentum. One recent study that considered its impact on stock returns found that an increase in uncertainty has adverse short-run but not long-run effects. In this study, we show that once the nonlinear adjustment of policy uncertainty is introduced into the same multivariable model, policy uncertainty not only has short-run effects but also long-run effects. Furthermore, in most instances the short-run and long-run effects are asymmetric.

中文翻译：

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政策不确定性对股票价格的影响：不对称分析

最近，评估政策不确定性对任何宏观经济变量的影响的势头正在增强。一项最近的研究考虑了它对股票收益的影响，发现不确定性的增加具有不利的短期影响，但没有长期影响。在这项研究中，我们表明，一旦将政策不确定性的非线性调整引入相同的多变量模型中，政策不确定性不仅会产生短期影响，而且会产生长期影响。此外，在大多数情况下，短期效应和长期效应是不对称的。