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Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China

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  • Jiang, Yonghong
  • Zhu, Zixuan
  • Tian, Gengyu
  • Nie, He

Abstract

We use a relatively novel TVP-VAR method to calculate spillovers and explore determinants of spillovers of categorical policy uncertainties within and across China and US. Our results show that both domestic and cross-country spillovers of China and US are mostly affected by bilateral trade, exchange rate and investor sentiment. Furthermore, we find that some major events may reverse the spillovers direction and there is no winner in the China-US trade conflicts.

Suggested Citation

  • Jiang, Yonghong & Zhu, Zixuan & Tian, Gengyu & Nie, He, 2019. "Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China," Finance Research Letters, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:s1544612319304489
    DOI: 10.1016/j.frl.2019.08.004
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    More about this item

    Keywords

    Economic policy uncertainty; Spillover index; TVP-VAR; China–US trade conflict; JEL classification; C32; D80; F42;
    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
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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