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Cross-category and cross-country spillovers of economic policy uncertainty: Evidence from the US and China

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  • Liu, Tangyong
  • Gong, Xu
  • Ge, Houyi
  • Wang, Jie

Abstract

Using both time and frequency spillover index method, this paper studies the cross-category and cross-country spillover effect of economic policy uncertainty (EPU) within and between the US and China from January 2000 to May 2022. The empirical results show that the cross-category EPU spillover within China is higher than that within the US, and the cross-country EPU spillover from the US to China is higher than that from China to the US. More importantly, we found that trade policy plays the most important role in the cross-country spillover.

Suggested Citation

  • Liu, Tangyong & Gong, Xu & Ge, Houyi & Wang, Jie, 2023. "Cross-category and cross-country spillovers of economic policy uncertainty: Evidence from the US and China," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001110
    DOI: 10.1016/j.najef.2023.101988
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    References listed on IDEAS

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    1. Chang, Tsangyao & Chen, Wen-Yi & Gupta, Rangan & Nguyen, Duc Khuong, 2015. "Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test," Economic Systems, Elsevier, vol. 39(2), pages 288-300.
    2. Gong, Xu & Fu, Chengbo & Huang, Qiping & Lin, Meimei, 2022. "International political uncertainty and climate risk in the stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
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    Cited by:

    1. Wu, Chao & Zhao, Ke & Liu, Jinquan & Zhao, Xiuyi, 2024. "Cross-country spillovers of trade uncertainty and their formation mechanisms," Finance Research Letters, Elsevier, vol. 66(C).
    2. Ni, Jianhui & Ruan, Jia, 2024. "Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    3. Zhang, Jun & Chen, Donghui, 2024. "Time-frequency cross-country spillovers of climate policy uncertainty: Does it matter for financial risk?," Energy, Elsevier, vol. 312(C).

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    More about this item

    Keywords

    Spillover effect; Frequency spillover; Economic policy uncertainty;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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