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Trade Policy Uncertainty and Stock Returns

Author

Listed:
  • Marcelo Bianconi
  • Federico Esposito
  • Marco Sammon
Abstract
This paper documents new stylized facts on the effects of trade policy uncertainty on stock returns. We exploit quasi-exogenous variation in exposure to policy uncertainty arising from annual votes by US Congress to revoke China's MFN tariff rates between 1990 and 2000. Before the uncertainty was resolved by granting China permanent MFN rates, US manufacturing industries highly exposed to trade policy uncertainty had stock returns 10.4% higher per year than less exposed sectors. We argue that this difference in average returns is a risk premium for exposure to trade policy uncertainty. Indirect exposure to trade policy uncertainty through Input-Output linkages also commands a substantial risk premium.

Suggested Citation

  • Marcelo Bianconi & Federico Esposito & Marco Sammon, 2019. "Trade Policy Uncertainty and Stock Returns," Discussion Papers Series, Department of Economics, Tufts University 0830, Department of Economics, Tufts University.
    • Handle: RePEc:tuf:tuftec:0830
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    • F1 - International Economics - - Trade
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G1 - Financial Economics - - General Financial Markets

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