Abstract
We study the effect of the level of economic policy uncertainty on market risk and market risk premium by employing an OLS regression model. The results show that economic policy uncertainty impacts market risk more during the recession periods than during the expansion periods. However, we do not find support for a relationship between economic policy uncertainty and market risk premium. Evidently, the level of economic policy uncertainty impacts market risk and policymakers must take that into consideration when deliberating new economic policy.
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