Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries

Wenjin Tang, Saijie Ding and Hao Chen

Pacific-Basin Finance Journal, 2021, vol. 67, issue C

Abstract: We study the spillover effects and networks of economic uncertainty in 12 Asia-Pacific countries from 2000 to 2020, combining the mixed frequency expectation maximization algorithm and factor-augmented vector autoregressive model to construct economic uncertainty indexes. Our estimates suggest a complex and closely related network of economic uncertainty in the Asia-Pacific region, with both developed and developing countries as important network nodes. In contrast, the spillover networks of economic policy uncertainty are dominated by a few developed countries. The study provides a new reference for Asia-Pacific countries to assess uncertainty more accurately and implement more forward-looking economic policies.

Keywords: Economic uncertainty; Economic policy uncertainty; Spillover effects; Spillover network structure; Asia-Pacific region (search for similar items in EconPapers)
JEL-codes: C53 D81 E32 F42 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000469

DOI: 10.1016/j.pacfin.2021.101539

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