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The spillover of macroeconomic uncertainty between the U.S. and China

Zhuo Huang (), Chen Tong, Han Qiu () and Yan Shen

Economics Letters, 2018, vol. 171, issue C, 123-127

Abstract: We investigate the spillover of macroeconomic uncertainty between the U.S. and China since 2002. Following Jurado et al. (2015), we construct a monthly aggregate macroeconomic uncertainty index for China from 224 economic variables. The structural vector autoregression model suggests a unidirectional spillover of macroeconomic uncertainty from the U.S. to China. Both U.S. and Chinese uncertainty have negative effects on China’s real economy, but the impact of U.S. uncertainty is greater.

Keywords: Macroeconomic uncertainty; Spillover effect; Structural vector autoregression (search for similar items in EconPapers)
JEL-codes: C30 D80 F40 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econlet.2018.07.018

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