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Uncovering the global network of economic policy uncertainty

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  • Marfatia, Hardik
  • Zhao, Wan-Li
  • Ji, Qiang

Abstract

This study uncovers the static and dynamic network of economic policy uncertainty (EPU) across 17 developed and emerging economies. We build a centrality network using the minimal spanning tree (MST) as well as a dependency network using partial correlations. Results from the MST show that EPU exhibits some degree of geographical connections with EPUs in seven countries in the sample directly linked to the US EPU. Evidence from dynamic time-varying MST reveals that the nature and dominance of the EPU network have changed significantly over time. Further, the US and German EPUs dominate a close-knit global policy uncertainty network with the highest net (To and From) transmitter of information flow in the dependency network. Greece, Russia, and Brazil are the top three net receivers of information in the global network of EPU. The policy implication of these results relates to the renewed and ongoing international debate on policy coordination.

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  • Marfatia, Hardik & Zhao, Wan-Li & Ji, Qiang, 2020. "Uncovering the global network of economic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 53(C).
    • Handle: RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919311845
    DOI: 10.1016/j.ribaf.2020.101223
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    4. Arfaoui, Nadia & Naeem, Muhammad Abubakr & Boubaker, Sabri & Mirza, Nawazish & Karim, Sitara, 2023. "Interdependence of clean energy and green markets with cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
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    More about this item

    Keywords

    Economic policy uncertainty; Minimal spanning tree; Partial correlation; Dependency network;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G1 - Financial Economics - - General Financial Markets
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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