Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287802 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Applied Econometrics [ISSN:] 1099-1255 [Volume:] 38 [Issue:] 3 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2022 [Pages:] 388-406
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks further suggests that trade policy uncertainty dominates tariff level effects. Chinese trade policy shocks against the United States further hurt US stocks.
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

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