Impact of economic policy uncertainty shocks on China's financial conditions
Zhenghui Li and
Finance Research Letters, 2020, vol. 35, issue C
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)
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319306841
Access Statistics for this article
Finance Research Letters is currently edited by R. GenÃ§ay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Haili He ().