Figure 4.
The four plots present two closely aligned decreasing curves against h. In each part, the x-axis is h and ranges from 0 to 100, with labelled intervals of 10. The left y-axis ranges from 0 to 0.4, with labelled intervals of 0.05. The right y-axis ranges from 0 to 0.07, with labelled intervals of 0.01. Part a compares S and P 500 returns with T bill yield change. Both curves decrease steeply at lower h values and progressively approach 0 as h reaches 100. Part b compares Dow Jones returns with T bill yield change and follows the same decreasing pattern. Part c compares Nasdaq returns with T bill yield change, with both curves declining towards 0. Part d compares Russell 2000 returns with T bill yield change and displays a similar decline. Across all four parts, the curves are close together throughout and become nearly flat as h approaches 100.Impulse response function (IRF) of the stock–T-bill correlation to a one-standard-deviation shock in trade policy uncertainty (black line, left axis) and VIX (red line, right axis), expressed in percentage points