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Impact of economic policy uncertainty shocks on China's financial conditions

Zhenghui Li and Junhao Zhong

Finance Research Letters, 2020, vol. 35, issue C

Abstract: This study explores the effect of global economic policy uncertainty (EPU) shocks on China's financial conditions index (CFCI) and analyzes the sources of uncertainty shocks. The results of the spillover index showed that the spillover effects of global EPU on CFCI were concentrated in the crisis periods, but mostly insignificant effect in the normal periods. The uncertainty shocks emanating from China itself were the major sources of China's financial markets volatility and the US EPU appeared to be the most significant exogenous cause of the fall of CFCI. The source of long-term uncertainty shocks changed over time.

Keywords: Economic policy uncertainty; China's financial conditions index; Spillover effect; Uncertainty shock (search for similar items in EconPapers)
JEL-codes: D81 E02 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319306841

DOI: 10.1016/j.frl.2019.101303

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