Cross-category and cross-country spillovers of economic policy uncertainty: Evidence from the US and China

被引：2

作者：

Liu, Tangyong ^{[1
]}

Gong, Xu ^{[2
]}

Ge, Houyi ^{[3
]}

Wang, Jie ^{[4
]}

机构：

[1] Hubei Univ Econ, Inst Adv Studies Finance & Econ, Wuhan 430205, Peoples R China

[2] Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China

[3] Xiamen Univ, Sch Econ, Xiamen 361005, Peoples R China

[4] Hunan Univ Finance & Econ, Sch Econ, Changsha 410205, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2023年 / 68卷

基金：

美国国家科学基金会;

关键词：

Spillover effect; Frequency spillover; Economic policy uncertainty; INTERNATIONAL SPILLOVERS; MONETARY-POLICY; VOLATILITY; CONNECTEDNESS; DYNAMICS; RETURNS; SHOCKS;

D O I：

10.1016/j.najef.2023.101988

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using both time and frequency spillover index method, this paper studies the cross-category and cross-country spillover effect of economic policy uncertainty (EPU) within and between the US and China from January 2000 to May 2022. The empirical results show that the cross-category EPU spillover within China is higher than that within the US, and the cross-country EPU spillover from the US to China is higher than that from China to the US. More importantly, we found that trade policy plays the most important role in the cross-country spillover.

引用

页数：16

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