Cross-category and cross-country spillovers of economic policy uncertainty: Evidence from the US and China

Tangyong Liu, Xu Gong, Houyi Ge and Jie Wang

The North American Journal of Economics and Finance, 2023, vol. 68, issue C

Abstract: Using both time and frequency spillover index method, this paper studies the cross-category and cross-country spillover effect of economic policy uncertainty (EPU) within and between the US and China from January 2000 to May 2022. The empirical results show that the cross-category EPU spillover within China is higher than that within the US, and the cross-country EPU spillover from the US to China is higher than that from China to the US. More importantly, we found that trade policy plays the most important role in the cross-country spillover.

Keywords: Spillover effect; Frequency spillover; Economic policy uncertainty (search for similar items in EconPapers)
JEL-codes: C32 E61 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:68:y:2023:i:c:s1062940823001110

DOI: 10.1016/j.najef.2023.101988

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