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Economic Policy Uncertainty: Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries

Author

Listed:
  • Jing Yuan

    (School of Statistics, Shandong Technology and Business University, Yantai, Shandong 264005, China)

  • Yajing Dong

    (School of Statistics, Shandong Technology and Business University, Yantai, Shandong 264005, China)

  • Weijie Zhai

    (School of Statistics and Data Science, Nankai University, Tianjin, Tianjin 300071, China)

  • Zongwu Cai

    (Department of Economics, The University of Kansas, Lawrence, KS 66045, USA)

Abstract

This paper studies the correlation and spillover effect of the economic policy uncertainty (EPU) among 10 countries in the Belt and Road (including 5 central countries: China, Russia, Singapore, France and Germany, and 5 peripheral countries: India, Japan, Korea, Greece and UK). We use a copula technique to analyze the correlation of the EPU and a mixed-frequency global VAR model to characterize the spillover effect of the EPU. We find that the correlation of the EPU among the 10 countries is very strong and the spillover effect of the EPU from the central countries to the peripheral countries is statistically significant. As a result, for the harmonious and win-win development, the Belt and Road countries should pay a close attention to the EPU, because the stability of the EPU can greatly promote the economic development.

Suggested Citation

  • Jing Yuan & Yajing Dong & Weijie Zhai & Zongwu Cai, 2021. "Economic Policy Uncertainty: Cross-Country Linkages and Spillover Effects on Economic Development in Some Belt and Road Countries," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202110, University of Kansas, Department of Economics, revised Nov 2021.
    • Handle: RePEc:kan:wpaper:202110
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    References listed on IDEAS

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    More about this item

    Keywords

    Belt and Road Initiative; Copula Technique; Economic Policy Uncertainty; Global VAR; Spillover Effect.;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • 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
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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