EconPapers    
Economics at your fingertips  
 

Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR

Idriss Fontaine (), Romain Razafindravaosolonirina () and Laurent Didier

China Economic Review, 2018, vol. 51, issue C, 1-19

Abstract: How far could a rise in uncertainty affecting China be transmitted to other economies? This paper investigates the possible spillovers from a shock to Chinese Economic Policy Uncertainty (EPU) to developed (the United States, the Euro Area, Japan and South Korea) and emerging economies (Brazil and Russia). To take into account the non-linear nature of uncertainty shocks, we estimate a Smooth-Transition Vector Auto-Regressive (STVAR) model differentiating phases of expansion and phases of recession. We find important asymmetries in the responses to Chinese uncertainty shocks of macro-variables especially for the United States (US), the Euro Area (EA) and South Korea. Indeed, these countries display almost no response to the identified shock during booms. However, when hit in downturns, they suffer from a fall in industrial production, inflation and exports together with an increase in unemployment (except for Korea). Emerging countries (Brazil and Russia) stand out in the extent to which they significantly respond to the Chinese shock in both identified regimes. Lastly, the Japanese economy seems to be less sensitive to the Chinese shock.

Keywords: Economic policy uncertainty; China; STVAR; Spillover effects (search for similar items in EconPapers)
JEL-codes: E32 C32 F42 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1043951X1830049X
Full text for ScienceDirect subscribers only

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:eee:chieco:v:51:y:2018:i:c:p:1-19

Access Statistics for this article

China Economic Review is currently edited by B.M. Fleisher, K. X. D. Huang, M.E. Lovely, Y. Wen, X. Zhang and X. Zhu

More articles in China Economic Review from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-22
Handle: RePEc:eee:chieco:v:51:y:2018:i:c:p:1-19