Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - In: Journal of Applied Econometrics 38 (2022) 3, pp. 388-406
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....