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.

中文翻译：

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政治不确定性和美国市场风险溢价

目的

本研究的目的是研究美国政治不确定性与市场风险溢价之间的双向因果关系。

设计/方法/方法

我使用理论模型来激发信号，然后基于向量自回归来检查信号。

发现

我发现政治不确定性对市场风险溢价产生了较小的积极的，延迟的影响。另一方面，市场风险溢价对政治不确定性具有很大的永久性负面影响。

创意/价值

这是第一份考虑政治不确定性对市场风险溢价的双向影响，反之亦然的研究论文。它还发现了有趣的经验结果。