Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China

Xite Yang, Qin Zhang, Haiyue Liu, Zihan Liu, Qiufan Tao, Yongzeng Lai and Linya Huang

The North American Journal of Economics and Finance, 2024, vol. 69, issue PA

Abstract: This paper used DCC-GARCH to construct systemic risk indicators and principal component analysis to construct macroeconomic shock indicators to analyze the monthly data from January 2007 to June 2022 of 45 financial institutions registered in China. The TVP-VAR-SV model was then used to empirically examine the relationships between economic policy uncertainty, macroeconomic shocks, and systemic financial risks. It was found that there were apparent time-varying relationships between economic policy uncertainty (EPU), macroeconomic shocks (MS), and systemic financial risk (SYS). Further research showed differences in the direction and degree of the interactions between the variables under different time shock backgrounds.

Keywords: Economic policy uncertainty; Macroeconomic shocks; Systemic risk; TVP-VAR-SV model (search for similar items in EconPapers)
JEL-codes: C32 C50 E60 F68 G15 O11 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001559

DOI: 10.1016/j.najef.2023.102032

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