A Multifractal Cross-Correlation Analysis of Economic Policy Uncertainty: Evidence from China and US

In this study, we utilized the prevailing economic policy uncertainty index (EPU) as the proxy of state economic fluctuation and investigated Sino-US economic fluctuation long horizon cross-correlation with a multifractal detrended cross-correlation analysis (MF-DCCA). With the MF-DCCA approach, we found a reliable long-range cross-correlation between China and US EPU changes. In addition, we discovered that a power law cross-correlation existed for the variation of most scaling orders. However, no persistence of cross-correlations was detected within the Sino-US EPU change series. Additionally, we implemented Renyi exponent and spectrum singularity checks. Both the examination results proved series multifractality with the presented arch-shaped curves. We further calculated the Holder exponent bounds within each series and found that the China EPU changes had maximal multifractality with the largest exponent difference.