Cross-category spillover effects of economic policy uncertainty between China and the US: Time and frequency evidence

Guo, Junjie; Li, Youshu; Shao, Qinglong

doi:10.1016/j.asieco.2022.101462

Cited by 8 publications

(5 citation statements)

References 53 publications

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“…Events that affect the political landscape generally, like the election of a new president, appear to have a lasting impact on the EPU network. Guo et al (2022) examine the connectedness of policy uncertainty indices between the USA and China in the following categories; MPU, FPU and trade policy uncertainty using monthly data sampled between 2000 and 2021. In their findings, Guo et al (2022) report that US MPU is a net receiver of uncertainty spillover for considerable periods.…”

Section: Introductionmentioning

confidence: 99%

“…Guo et al (2022) examine the connectedness of policy uncertainty indices between the USA and China in the following categories; MPU, FPU and trade policy uncertainty using monthly data sampled between 2000 and 2021. In their findings, Guo et al (2022) report that US MPU is a net receiver of uncertainty spillover for considerable periods. They attribute the scenario to adaptation responses by the Federal Bank whenever there is a sudden shift in uncertainty at home or abroad.…”

Section: Introductionmentioning

confidence: 99%

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Cross-country categorical economic policy uncertainty spillovers: evidence from a conditional connectedness TVP-VAR framework

Nyakurukwa

Seetharam²

2023

JFEP

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Purpose This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal policy uncertainty (FPU) and monetary policy uncertainty (MPU) in four nations, the USA, Japan, Greece and South Korea, between 1998 and 2021. Design/methodology/approach To comprehend the cross-category/cross-country evolution of uncertainty connectedness, the authors use the conditional connectedness approach. By using an inclusive network, this strategy lessens the bias caused by omitted variables. The TVP-VAR method is advantageous as it eliminates outliers that may potentially skew the results and reduces the bias caused by picking arbitrary rolling windows. Findings Based on the findings, aggregate EPU is a net transmitter of policy uncertainties across all countries when conditional-country connectedness is used. MPU receives significantly more spillovers than FPU does across all countries, even though both are primarily recipients of uncertainties. The USA appears to be a transmitter of categorical spillovers before COVID-19, while Greece appears to be a net receiver of all category spillovers in terms of category-specific connectedness. The existence of extreme global events is also seen to cause an increase in category-specific and country-specific connectedness. Additionally, the authors report that conditional country-specific connectedness is greater than conditional category-specific connectedness. Originality/value This study expands existing literature in several ways. Firstly, the authors use a novel conditional connectedness approach, which has not been used to untangle cross-category/cross-country policy uncertainty connectedness. Secondly, they use the TVP-VAR approach which does not depend on rolling windows to understand dynamic connectedness. Thirdly, they use an expanded number of countries in their analysis, a departure from existing studies that have in most cases used two countries to understand categorical EPU connectedness.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Cross-country categorical economic policy uncertainty spillovers: evidence from a conditional connectedness TVP-VAR framework

Nyakurukwa

Seetharam²

2023

JFEP

View full text Add to dashboard Cite

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“…Additionally, unlike previous studies, they focus further on the uncertainty generated by different economic policy changes, and then construct a novel branch of indices that can capture these categorical economic policy uncertainties (CEPUs), including monetary policy uncertainty (MPU). Subsequently, this EPU series has received increased attention (Al-Thaqeb & Algharabali, 2019;Bonaime et al, 2018;Guo et al, 2022;Liang et al, 2022). Based on their contributions and the consideration of the important role of monetary policy, we cannot pay attention only to the uncertainty originating from monetary policy and other categorical economic policies, but also try our best to fully understand the relationship between MPU and CEPUs.…”

Section: Introductionmentioning

confidence: 99%

“…However, they did not aim to detect the relationship between the different CEPUs. Guo et al (2022) investigated the connectedness among only three types of CEPUs, not taking all of them into consideration. In other words, scholars have only focused on the relationship between certain economic policy-related uncertainty indicators and a specific variable, while ignoring the differences in the impact of different policy uncertainties on this variable.…”

Section: Introductionmentioning

confidence: 99%

“…For instance, Thiem (2018) analysed the cross-category spillovers between these CEPUs but ignored their short- and long-term dynamics. Although Guo et al (2022) revealed the spillover effects among three CEPUs by employing the frequency-domain decomposition approach, they did not investigate the other CEPUs in detail. Thus, we extend our work further from a frequency-domain perspective.…”

Section: Introductionmentioning

confidence: 99%

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Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses

Hong

Feng

et al. 2022

Eval Rev

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Monetary policy changes have an irreplaceable impact on economic activity. Considering the close linkage among economic policies, we employ a bi-directional Granger causality test to investigate the potential linkages between monetary policy uncertainty (MPU) and other categorical economic policy uncertainty (CEPU) in the time and frequency domains. We consider all news-based U.S. categorical economic policy uncertainty indices (CEPU). All monthly CEPU indicators, covering January 1986 to January 2022, can be obtained from the website of Economic Policy Uncertainty. On an average, causality running from each CEPU to MPU is not apparent, while MPU can significantly affect six policy-related uncertainties: taxes, government spending, health care, national security, entitlement programs and regulation. A further frequency-domain study showed the dynamic changes in the relationship between them. For instance, we capture mid- and long-run causality running from tax uncertainty to MPU, while MPU has an impact on taxes in the medium run. Our findings provide policymakers with a better understanding of the nexus between MPU and other CEPU for formulating appropriate economic policies. Particularly, if a sectional government considers the long- and short-term effects of different policies when formulating strategies, risk transmission may be curbed to some extent.

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Co Movement of Stock Market of BRICS with G7 Stock Market

Kaur,

Aggarwal,

Arora

2024

Asia-Pac Financ Markets

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Cross-category spillover effects of economic policy uncertainty between China and the US: Time and frequency evidence

Cited by 8 publications

References 53 publications

Cross-country categorical economic policy uncertainty spillovers: evidence from a conditional connectedness TVP-VAR framework

Cross-country categorical economic policy uncertainty spillovers: evidence from a conditional connectedness TVP-VAR framework

Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses

Co Movement of Stock Market of BRICS with G7 Stock Market

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