 Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific networkYang Li, Jingqiu Luo and Yongmu Jiang Pacific-Basin Finance Journal, 2021, vol. 67, issue C Abstract: This study investigates the impact of policy uncertainties on the financial markets in the Asia-Pacific region using a complex network analysis. A new daily economic policy uncertainty (EPU) index was build using Global Database of Events, Language, and Tone data. The results show that China is the Asia-Pacific EPU network's center and the US stock market is the most important intermediary in the financial network. We also construct an uncertainty spillover network by combining the EPU and financial networks. The findings reveal that the US EPU and SPX indexes are the most important sources of uncertainties in the spillover network. The network dynamics show that during the US-China trade war, the correlations between the EPU and financial networks decreased significantly, while the COVID-19 outbreak has increased the combined network's density. Keywords: Economic policy uncertainty (EPU); Financial risk; Spillover effects; Complex network analysis (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:pacfin:v:67:y:2021:i:c:s0927538x21000615 DOI: 10.1016/j.pacfin.2021.101554 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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