Economic Policy Uncertainty: Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries

Jing Yuan, Yajing Dong, Weijie Zhai and Zongwu Cai
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Jing Yuan: School of Statistics, Shandong Technology and Business University, Yantai, Shandong 264005, China
Yajing Dong: School of Statistics, Shandong Technology and Business University, Yantai, Shandong 264005, China
Weijie Zhai: School of Statistics and Data Science, Nankai University, Tianjin, Tianjin 300071, China
Zongwu Cai: Department of Economics, The University of Kansas, Lawrence, KS 66045, USA

No 202110, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics

Abstract: This paper studies the correlation and spillover effect of the economic policy uncertainty (EPU) among 10 countries in the Belt and Road (including 5 central countries: China, Russia, Singapore, France and Germany, and 5 peripheral countries: India, Japan, Korea, Greece and UK). We use a copula technique to analyze the correlation of the EPU and a mixed-frequency global VAR model to characterize the spillover effect of the EPU. We find that the correlation of the EPU among the 10 countries is very strong and the spillover effect of the EPU from the central countries to the peripheral countries is statistically significant. As a result, for the harmonious and win-win development, the Belt and Road countries should pay a close attention to the EPU, because the stability of the EPU can greatly promote the economic development.

Keywords: Belt and Road Initiative; Copula Technique; Economic Policy Uncertainty; Global VAR; Spillover Effect. (search for similar items in EconPapers)
JEL-codes: C32 C45 D80 (search for similar items in EconPapers)
Date: 2021-02, Revised 2021-11
New Economics Papers: this item is included in nep-cis and nep-sea
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