Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility

Thiem, Christopher

doi:10.1007/s11079-019-09559-1

Cited by 11 publications

(9 citation statements)

References 35 publications

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“…In addition, at the 5% significance level, MPU had an impact on taxes and GS. Our results seem to be consistent with Thiem (2018), who employed the connectedness index of Diebold and Yilmaz (2012) and found strong connections between MPU and HC, NS and fiscal policy uncertainty. Our results are also supported by Jiang et al (2019), who applied the TVP-VAR method and found fiscal (taxes or spending) policy uncertainty.…”

Section: Empirical Findingssupporting

confidence: 91%

“…Many studies have explored the relationship between CEPUs while overlooking investigating their long- and short-term influences. 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.…”

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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Section: Empirical Findingssupporting

confidence: 91%

Section: Introductionmentioning

confidence: 99%

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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“…Our study has various policy implications. Firstly, as FPU seems to dominate MPU, we echo the sentiment of Thiem (2018) who argues that the complexity of the EPU system can be greatly reduced by neutralising fiscal policy as the primary source and recipient of uncertainty spillovers. The research findings presented in this paper suggest that, to the extent that policymakers have control over the conception and outcome of their main political initiatives, they also have control over the structure of the EPU network.…”

Section: Discussionmentioning

confidence: 72%

“…It is well-documented that EPU affects the stock market, international trade, the crypto market, industrial production, employment and other macroeconomic variables and extant literature has been directed at these linkages (Abaidoo, 2018; Roma et al , 2020; Paule-Vianez et al , 2021). However, Thiem (2018) notes that only a handful of studies have attempted to understand the phenomenon itself (connectedness among different categories of EPU). At the same time, economic uncertainty is not a “one size fits all” concept.…”

Section: Introductionmentioning

confidence: 99%

“…In terms of net transmissions, the European policy uncertainty is reported as being driven by the Greek uncertainty indices. Thiem (2018) uses a within-country categorical connectedness of policy uncertainties in the USA. The categorical policies used are monetary policy, fiscal policy, health-care policy, national security policy, regulatory policy and trade policy.…”

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

Guo

Shao

2022

Journal of Asian Economics

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Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility

Cited by 11 publications

References 35 publications

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

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

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

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

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