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