International Transmission of Macroeconomic Uncertainty in China: A Time-varying Bayesian Global SVAR Approach

Wongi Kim ()
Additional contact information
Wongi Kim: Sungshin Women’s University

East Asian Economic Review, 2024, vol. 28, issue 1, 95-140

Abstract: This study empirically investigates the international transmission of China’s uncertainty shocks. It estimates a time-varying parameter Bayesian global structural vector autoregressive model (TVP-BGVAR) using time series data for 33 countries to evaluate heterogeneous international linkage across countries and time. Uncertainty shocks are identified via sign restrictions. The empirical results reveal that an increase in uncertainty in China negatively affects the global economy, but those effects significantly vary over time. The effects of China’s uncertainty shocks on the global economy have been significantly altered by China’s WTO accession, the global financial crisis, and the recent US–China trade conflict. Furthermore, the effects of China’s uncertainty shocks, typically on inflation, differ significantly across countries. Moreover, Trade openness appears crucial in explaining heterogeneous GDP responses across countries, whereas the international dimension of monetary policy appears to be important in explaining heterogeneous inflation responses across countries.

Keywords: Uncertainty; International Transmission; Time-varying Parameter; Bayesian Global VAR; China (search for similar items in EconPapers)
JEL-codes: C32 E32 F41 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dx.doi.org/10.11644/KIEP.EAER.2024.28.1.432 Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0432

Access Statistics for this article

East Asian Economic Review is currently edited by JE Lee

More articles in East Asian Economic Review from Korea Institute for International Economic Policy [30147] 3rd Floor Building C Sejong National Research Complex 370 Sicheong-daero Sejong-si, Korea. Contact information at EDIRC.
Bibliographic data for series maintained by JE Lee ().