EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518302726
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:ecolet:v:171:y:2018:i:c:p:123-127

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-12
Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:123-127