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

Yonghong Jiang, Zixuan Zhu, Gengyu Tian and He Nie

Finance Research Letters, 2019, vol. 31, issue C

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.

Keywords: Economic policy uncertainty; Spillover index; TVP-VAR; China–US trade conflict; JEL classification; C32; D80; F42 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612319304489

DOI: 10.1016/j.frl.2019.08.004

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