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Assessment of Economic Policy Uncertainty spillovers: A cross-border analysis of global and BRIC economies

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  • Kayani, Umar
  • Hassan, M. Kabir
  • Dejan, Austin
  • Khan, Maaz
  • Nawaz, Farrukh

Abstract

This study empirically assesses the dynamics of variation in economic policy uncertainty over the financial markets of BRIC countries, including Brazil, Russia, India, and China. Using monthly frequency data from January 2003 to June 2023 and employing Diebold and Yilmaz (2012) spillover estimation framework, we find a significant influence of global economic policy uncertainty on the BRIC economies that varies with the time horizons. The findings show a total spillover of 35.65% in the global and BRIC economic policy uncertainty. The highest gross directional spillover is reported globally and in China, while Brazil shows the lowest directional gross economic policy uncertainty spillover. However, the global economic policy uncertainty transmits the highest net directional spillover. The study provides practical policy implications in adopting a comprehensive, globally informed approach to economic policy decisions and risk mitigation strategies to navigate the evolving landscape of economic policy uncertainties effectively.

Suggested Citation

  • Kayani, Umar & Hassan, M. Kabir & Dejan, Austin & Khan, Maaz & Nawaz, Farrukh, 2024. "Assessment of Economic Policy Uncertainty spillovers: A cross-border analysis of global and BRIC economies," International Economics, Elsevier, vol. 179(C).
    • Handle: RePEc:eee:inteco:v:179:y:2024:i:c:s2110701724000532
    DOI: 10.1016/j.inteco.2024.100530
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    Cited by:

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    2. Kayani, Umar & Ullah, Mirzat & Aysan, Ahmet Faruk & Nazir, Sidra & Frempong, Josephine, 2024. "Quantile connectedness among digital assets, traditional assets, and renewable energy prices during extreme economic crisis," Technological Forecasting and Social Change, Elsevier, vol. 208(C).

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    More about this item

    Keywords

    Economic policy uncertainty; Economic policy uncertainty index; BRIC economies; Uncertainty;
    All these keywords.

    JEL classification:

    • B17 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - International Trade and Finance
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions

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