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Measuring cross-category spillovers of policy-specific uncertainty in China

Author

Listed:
  • Ma, Xutao
  • Zhang, Zhen
  • Ma, Xubu
  • Shen, Yue

Abstract

This paper examine cross-category spillovers of policy-specific uncertainty in China. We find that monetary policy and exchange rate policy are net givers, while fiscal policy and trade policy are net receivers. Monetary policy plays the dominant role. Spillovers are countercyclical.

Suggested Citation

  • Ma, Xutao & Zhang, Zhen & Ma, Xubu & Shen, Yue, 2019. "Measuring cross-category spillovers of policy-specific uncertainty in China," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    • Handle: RePEc:eee:ecolet:v:183:y:2019:i:c:3
    DOI: 10.1016/j.econlet.2019.108611
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    References listed on IDEAS

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    5. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    6. Balli, Faruk & Uddin, Gazi Salah & Mudassar, Hasan & Yoon, Seong-Min, 2017. "Cross-country determinants of economic policy uncertainty spillovers," Economics Letters, Elsevier, vol. 156(C), pages 179-183.
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    Citations

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    Cited by:

    1. Adeel Riaz & Assad Ullah & Li Xingong, 2024. "Does trade policy uncertainty in China and USA matter for key financial markets?," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-30, April.
    2. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    3. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    4. Chen, Yuxuan & Chiu, Junmao & Chung, Huimin, 2022. "Givers or Receivers? Return and volatility spillovers between Fintech and the Traditional Financial Industry," Finance Research Letters, Elsevier, vol. 46(PB).
    5. Zeng, Qing & Lu, Xinjie & Dong, Dayong & Li, Pan, 2022. "Category-specific EPU indices, macroeconomic variables and stock market return predictability," International Review of Financial Analysis, Elsevier, vol. 84(C).

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    More about this item

    Keywords

    Policy-specific uncertainty; Cross-category spillovers; Variance decomposition;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

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