论文标题
防止股票市场崩溃：Covid-19期间经济政策不确定性的作用
Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
论文作者
论文摘要
本文调查了经济政策不确定性（EPU）对COVID-19大流行期间美国股票市场崩溃风险的影响。为此，我们使用Garch-S（带有偏度的Garch）模型来估计每日偏斜作为股票市场崩溃风险的代理。经验结果表明，EPU与股票市场崩溃风险之间的负相关显着，表明EPU的加剧增加了坠机风险。此外，在全球Covid-19-19爆发中，负相关性变得更加强大，这表明在大流行期间，美国股市的崩溃风险将受到EPU的影响。
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the pandemic.
