Uncertainty Is Not What It Used to Be: EPU and the Collapse of Classical Risk Logic

Here is a concise and professional Zenodo dataset description based on your paper, suitable for use as the metadata summary: Title:Uncertainty Is Not What It Used to Be: EPU and the Collapse of Classical Risk Logic Description:This dataset accompanies the study "Regime-Contingent Uncertainty Pricing: Strategic Risk, Liquidity, and Political Shocks," which develops a theory of regime-dependent pricing of economic policy uncertainty (EPU) in U.S. equity markets. Using monthly data from 2009 to 2025, the analysis identifies nonlinear shifts in the EPU-return relationship during two major political-economic shocks: the COVID-19 pandemic and the 2025 U.S.–China Trade War. The study demonstrates that EPU effects on asset prices are not time-invariant but depend on macro-regime context, investor behavior, and liquidity conditions. The repository includes: Monthly return data for SPDR S&P 500 ETF (SPY) U.S. Economic Policy Uncertainty Index (EPU) data Python scripts for data processing, OLS estimation, and Markov-switching modeling Figures and tables illustrating regime dynamics A complete README with replication instructions Key Contributions: Demonstrates that financial market responses to EPU invert during structural crises (e.g., COVID-19) and revert during politically driven uncertainty (e.g., Trade War) Advances dynamic capabilities and institutional theory by modeling uncertainty sensitivity as regime-contingent Introduces the concept of "reactivated uncertainty sensitivity," emphasizing the return of classical risk pricing under renewed political stress Keywords:Economic Policy Uncertainty (EPU), regime switching, COVID-19, U.S.–China Trade War, Markov switching model, strategic foresight, uncertainty pricing, institutional theory License:CC BY 4.0 – Openly available for reuse and replication Citation:Brown, S. (2025). Regime-Contingent Uncertainty Pricing: Strategic Risk, Liquidity, and Political Shocks [Data set]. Zenodo. https://doi.org/10.5281/zenodo.15254459以下为基于您的论文撰写的简洁专业的Zenodo数据集描述，可用作元数据摘要： 标题：不确定性今非昔比：经济政策不确定性（Economic Policy Uncertainty, EPU）与经典风险逻辑的崩塌 描述：本数据集配套于研究论文《状态依存型不确定性定价：战略风险、流动性与政治冲击》，该论文构建了美国股票市场中经济政策不确定性的状态依赖定价理论。本研究采用2009年至2025年的月度数据，在两次重大政治经济冲击——新冠疫情与2025年美中贸易战期间，识别出EPU与收益间关联的非线性转变。研究表明，EPU对资产价格的影响并非恒定不变，而是取决于宏观经济状态、投资者行为与流动性环境。 本数据集仓库包含以下内容： - 标普500交易所交易基金（SPDR S&P 500 ETF, SPY）的月度收益数据 - 美国经济政策不确定性指数数据 - 用于数据处理、普通最小二乘（Ordinary Least Squares, OLS）估计与马尔可夫区制转换（Markov-switching）建模的Python脚本 - 用于展示区制动态的图表与表格 - 包含可复现操作指南的完整README文件 核心研究贡献： - 揭示了金融市场对EPU的响应在结构性危机（如新冠疫情）中发生反转，而在政治驱动的不确定性事件（如贸易战）中恢复至常规模式 - 通过将不确定性敏感度建模为状态依存型，推进了动态能力与制度理论的研究发展 - 提出“激活的不确定性敏感度”概念，强调在新一轮政治压力下经典风险定价的回归 关键词：经济政策不确定性（Economic Policy Uncertainty, EPU）、区制转换、新冠疫情、美中贸易战、马尔可夫区制转换模型、战略前瞻、不确定性定价、制度理论 许可证：CC BY 4.0——公开可复用并支持研究复现 引用：Brown, S. (2025). 状态依存型不确定性定价：战略风险、流动性与政治冲击 [数据集]. Zenodo. https://doi.org/10.5281/zenodo.15254459