Policy uncertainty sensitivity, COVID-19 and industry returns in the United States

Authors

  • Asil Azimli Cyprus International University

DOI:

https://doi.org/10.17811/ebl.11.3.2022.107-117

Keywords:

Economic policy uncertainty, COVID-19, industry returns, GARCH

Abstract

This paper examines if industries with higher economic policy uncertainty (EPU) sensitivity also respond differently to the evolution of COVID-19 pandemic. Initially, industries are allocated into decile portfolios according to their sensitivity to the US-EPU shocks, then portfolio returns are conditioned against changes in daily cases and deaths, respectively. After controlling for the standard risk-factors of equity returns, neither the cases nor deaths can load significantly against the returns of portfolio with the highest negative EPU exposure. However, industries which respond positively to the US-EPU shocks also respond positively to increases in cases and deaths.

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Published

13-07-2022

How to Cite

Azimli, A. (2022). Policy uncertainty sensitivity, COVID-19 and industry returns in the United States. Economics and Business Letters, 11(3), 107–117. https://doi.org/10.17811/ebl.11.3.2022.107-117

Issue

Vol. 11 No. 3 (2022): September

Section

Articles

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