Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China

Idriss Fontaine, Laurent Didier () and Justinien Razafindravaosolonirina
Additional contact information
Laurent Didier: CEMOI - Centre d'Économie et de Management de l'Océan Indien - UR - Université de La Réunion, TEPP - Travail, Emploi et Politiques Publiques - UPEM - Université Paris-Est Marne-la-Vallée - CNRS - Centre National de la Recherche Scientifique
Justinien Razafindravaosolonirina: LISA - Laboratoire « Lieux, Identités, eSpaces, Activités » (UMR CNRS 6240 LISA) - CNRS - Centre National de la Recherche Scientifique - Università di Corsica Pasquale Paoli [Université de Corse Pascal Paoli], CEMOI - Centre d'Économie et de Management de l'Océan Indien - UR - Université de La Réunion, LISA (UMR_7583) - Laboratoire Interuniversitaire des Systèmes Atmosphériques - INSU - CNRS - Institut national des sciences de l'Univers - UPD7 - Université Paris Diderot - Paris 7 - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12 - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper investigates the spillover effects of economic policy uncertainty (EPU) from China on US real macroeconomic variables in both expansion and recession periods. We use monthly data and estimate a Smooth Transition VAR (STVAR) model over the recent period. We find robust evidence that Chinese uncertainty significantly affects US economic activity during busts while no effect is perceptible during booms. The results also underline that Chinese EPU is a determinant of policy uncertainty, unemployment and industrial production in US.

Keywords: Policy uncertainty; China; US; Spillover effect (search for similar items in EconPapers)
Date: 2017-06
References: Add references at CitEc
Citations: View citations in EconPapers (21)

Published in Economics Letters, 2017, 155, pp.121-125. ⟨10.1016/j.econlet.2017.03.034⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Foreign policy uncertainty shocks and US macroeconomic activity: Evidence from China (2017)
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:hal:journl:hal-03571723

DOI: 10.1016/j.econlet.2017.03.034

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().