We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market volatility and correlation, primarily for the US and UK. Long-run US–UK stock market correlation depends positively on US economic policy uncertainty shocks. The dependence is asymmetric, with only positive shocks - increasing uncertainty - being of importance. The US long-run stock market volatility depends significantly on US economic policy uncertainty shocks but not on UK shocks, while the UK long-run stock market volatility depends significantly on both. Allowing for US economic policy uncertainty shocks improves the out-of-sample forecasting of US–UK stock market correlation and enhances portfolio performance. Similar results apply to the long-run correlation between the US and Canada, China, and Germany.

我们使用贝克、布鲁姆和戴维斯(2016)的经济政策不确定性指数，并结合混合数据抽样(MIDAS)方法来研究长期股市波动和相关性，主要针对美国和英国。美国和英国股市的长期相关性积极地取决于美国经济政策的不确定性冲击。这种依赖是不对称的，只有正冲击(增加的不确定性)才是重要的。美国股市的长期波动在很大程度上取决于美国经济政策的不确定性冲击，而不取决于英国的冲击，而英国股市的长期波动在很大程度上取决于两者。考虑到美国经济政策的不确定性冲击，提高了对美英股市相关性的样本外预测，提高了投资组合的表现。类似的结果也适用于美国与加拿大、中国和德国之间的长期相关性。