How Does Economic Policy Uncertainty Connect With the Volatility Spillovers in Asia-Pacific Markets?

Ismail Fasanya, Oluwatomisin Oyewole and Taofeek Agbatogun

Asian Economics Letters, 2021, vol. 2, issue 2, 1-6

Abstract: We examine the connection between global economic policy uncertainty (GEPU) and the dynamic spillovers of the Asia-Pacific manufacturing market within a nonparametric framework. We find strong connectedness between markets, and our results strongly support a nonlinear causal relationship between GEPU and manufacturing markets, mostly at median quantiles. Nonlinearity in our data signifies that the nonparametric test is more robust relative to the standard causality test.

Keywords: asia-pacific markets; connectedness; nonlinearity; economic policy uncertainty (search for similar items in EconPapers)
JEL-codes: D81 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (18)

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Asian Economics Letters is currently edited by Chun-Ping Chang (Shih Chien University, Taiwan) and Professor Chien-Chiang Lee (Nanchang University, China)

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