 Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEANEconomic Modelling, 2021, vol. 104, issue C Abstract: How are the Association of Southeast Asian Nations (ASEAN) markets managing global policy uncertainties? Which policy drives regional fluctuations? Although less literature is available on emerging economies, this study fills the gap by investigating the spillover effects of economic and trade policy uncertainty from the US and China on regional systemic risk in ASEAN markets. Using monthly stock returns from ASEAN-5, within a time-varying parameter vector autoregressive approach, this study shows that although policy uncertainty shocks from the US are significant, their effect on ASEAN markets started to wane from late 2013, with China's policy uncertainty overtaking the US as the leading systemic risk contributor. In particular, China's trade policy uncertainty demonstrates the most influential contagion effect on ASEAN markets. The results accentuate the strength of bilateral and trade relations via supply-side shock channels as a key determinant of emerging markets' exposure to policy uncertainty headwinds from global hegemonies. Keywords: Trade policy uncertainty; Economic policy uncertainty; COVID-19; Regional systemic risk; ASEAN (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002145 DOI: 10.1016/j.econmod.2021.105625 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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