Economic policy uncertainty and foreign holdings of US treasuries: The global evidence

Shan Wu*, Yuqin Zhou, Zhenhua Liu, Mu Tong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


In the context of the increasing global economic policy uncertainty (EPU) and the gradual reduction of US Treasuries holdings in many countries, based on the ADCC-GARCH model and sensitivity analysis, we find that the relative increase of instability in the global economic system will affect foreign investors' decision-making of investing in the US Treasuries, especially during the high uncertainty period. Shocks in global uncertainty significantly and negatively explain most samples' time-varying correlations with a lag of one or two months. To some extent, the sustainability and investors' inherent understanding of US Treasuries' safety has been shaken in the recent years. Our findings hold important implications for both foreign investors and financial advisors who are interested in US Treasuries.

Original languageEnglish
JournalSingapore Economic Review
Publication statusAccepted/In press - 2021
Externally publishedYes


  • Economic policy uncertainty
  • Foreign holdings of US treasuries
  • Sensitivity analysis


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