美联储-外交经济政策的不确定性与美国股市回报（英）-2024.12-40页_1mb

Summary of the Paper

This paper examines the impact of foreign economic policy uncertainty (EPU F) on U.S. equity returns. The key findings are as follows:

1. Predictive Power: Foreign EPU F has significant incremental predictive power for excess U.S. stock returns, particularly over 6 to 12-month horizons. It predicts returns for broad market indices (e.g., S&P500, NASDAQ) and various factor-based portfolios (e.g., high-investment, high-capex, low-cashflow companies, high foreign sales). This effect is stronger for longer horizons compared to domestic EPU (EPU US).

2. Transmission Channel: Foreign EPU F shocks primarily affect stock prices through cash flow news, not the discount rate channel. This aligns with theories emphasizing slower information diffusion of foreign uncertainty into domestic markets.

3. Macroeconomic Responses: These shocks lead to reductions in corporate investment, capital expenditures, dividend distributions, and stock repurchases, reflecting firms' precautionary responses and potential irreversible investment delays.

Conclusion
Foreign EPU F is an economically significant factor that propagates through cash flow channels, affecting both asset prices and real investment. These findings extend the literature on policy uncertainty in an interconnected global economy.