Nonlinear analysis of economic policy uncertainty: Based on the data in China, the US and the global

Rongbao Gu and Shengnan Liu

Physica A: Statistical Mechanics and its Applications, 2022, vol. 593, issue C

Abstract: In this paper, we investigate the chaotic behavior and multi-fractal features of economic police uncertainty in China, the US and the global. Furtherly, we analyze the nonlinear correlations and interactions of the three EPU indices. Our results show that, the EPU indices in China, the US and the global have nonlinear characteristics of chaos and multifractality. As the world’s first and second largest economies, the US and China have significant interactions in their EPU indices and there are significant mutual influence between EPU indices in China, the US and the global. However, after China became the world’s second largest economy, the chaos of China’s EPU has increased, while that of the US has decreased; The nonlinear correlation of EPU between China and the global has increased significantly, while that between the US and the global has decreased significantly; There is a significant interaction of EPU index between China and the global, while the EPU index of the US is no longer affected by the global. These phenomena are closely related to the strategy pursued by China and the US.

Keywords: Economic policy uncertainty; Chaos; Multifractality; Nonlinear Granger causality test (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000280

DOI: 10.1016/j.physa.2022.126897

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