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International spillovers of U.S. monetary uncertainty and equity market volatility to China’s stock markets

Chi-Chuan Lee and Chien-Chiang Lee

Journal of Asian Economics, 2023, vol. 84, issue C

Abstract: Due to the global economy that is currently being increasingly integrated and liberalized, the cross-country transmission of U.S. monetary policy surprises has become a critical issue attracting scholarly attention. This research thus extends the existing literature by assessing the causal linkages among U.S. monetary policy uncertainty (USMPU), equity market volatility, and China’s stock price index over the period from January 1994 to August 2021. We apply Granger causality in quantile analysis to explore the relationships in each quantile of the distribution in a comprehensible manner. The results indicate that equity market volatility and China’s stock price dynamics play little role in affecting USMPU. We also find that only greater changes in both positive monetary policy uncertainty and stock prices lead to changes in equity market volatility. Furthermore, fluctuations in monetary policy uncertainty and equity market volatility in the United States Granger-cause China’s stock prices. Knowing such causality results could prevent market participants from adopting a one-size-fits-all strategy.

Keywords: International spillover; Monetary policy uncertainty; Equity market volatility; Stock market; Granger-causality in quantiles analysis (search for similar items in EconPapers)
JEL-codes: C22 E44 E52 G12 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.asieco.2022.101575

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