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Risk spillover effects among Chinese policy, economy and financial markets: Evidence from mixed-frequency data

Author

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  • Wang, Jie
  • Hu, Jiukai
  • Yu, Bo

Abstract

This paper investigates the risk spillover dynamics among Chinese policy, economy, and financial markets using mixed-frequency data. Key findings reveal: (1) Significant risk spillover effects exist among policy, the economy and the financial markets, with time-varying and event-dependent characteristics. (2) On the whole, the financial markets are the net exporters of the risk spillover effects while the economy and policy act as the net importers, with policy’s impacts displaying the short-medium term during crises while displaying the medium-long term during the sample period. (3) Policy-specific Economic Policy Uncertainty indices exhibit strong mutual influences, with the financial markets predominantly exporting risks to all policy categories. These findings provide more detailed and precise insights into the pathways and magnitude of risk contagion in different domains, with collectively contributions to systemic risk management and regulatory coordination.

Suggested Citation

  • Wang, Jie & Hu, Jiukai & Yu, Bo, 2025. "Risk spillover effects among Chinese policy, economy and financial markets: Evidence from mixed-frequency data," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 2263-2277.
    • Handle: RePEc:eee:ecanpo:v:86:y:2025:i:c:p:2263-2277
    DOI: 10.1016/j.eap.2025.05.050
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    More about this item

    Keywords

    Risk spillover; Mixed frequency data; Policy uncertainty; Economy; Financial markets;
    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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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