Assessment of Economic Policy Uncertainty spillovers: A cross-border analysis of global and BRIC economies

Umar Kayani, M. Kabir Hassan, Austin Dejan, Maaz Khan and Farrukh Nawaz

International Economics, 2024, vol. 179, issue C

Abstract: This study empirically assesses the dynamics of variation in economic policy uncertainty over the financial markets of BRIC countries, including Brazil, Russia, India, and China. Using monthly frequency data from January 2003 to June 2023 and employing Diebold and Yilmaz (2012) spillover estimation framework, we find a significant influence of global economic policy uncertainty on the BRIC economies that varies with the time horizons. The findings show a total spillover of 35.65% in the global and BRIC economic policy uncertainty. The highest gross directional spillover is reported globally and in China, while Brazil shows the lowest directional gross economic policy uncertainty spillover. However, the global economic policy uncertainty transmits the highest net directional spillover. The study provides practical policy implications in adopting a comprehensive, globally informed approach to economic policy decisions and risk mitigation strategies to navigate the evolving landscape of economic policy uncertainties effectively.

Keywords: Economic policy uncertainty; Economic policy uncertainty index; BRIC economies; Uncertainty (search for similar items in EconPapers)
JEL-codes: B17 D81 F36 F51 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2110701724000532
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:inteco:v:179:y:2024:i:c:s2110701724000532

DOI: 10.1016/j.inteco.2024.100530

Access Statistics for this article

International Economics is currently edited by Valerie Mignon and Marcelo Olarreaga

More articles in International Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().