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Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries

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  • Tang, Wenjin
  • Ding, Saijie
  • Chen, Hao

Abstract

We study the spillover effects and networks of economic uncertainty in 12 Asia-Pacific countries from 2000 to 2020, combining the mixed frequency expectation maximization algorithm and factor-augmented vector autoregressive model to construct economic uncertainty indexes. Our estimates suggest a complex and closely related network of economic uncertainty in the Asia-Pacific region, with both developed and developing countries as important network nodes. In contrast, the spillover networks of economic policy uncertainty are dominated by a few developed countries. The study provides a new reference for Asia-Pacific countries to assess uncertainty more accurately and implement more forward-looking economic policies.

Suggested Citation

  • Tang, Wenjin & Ding, Saijie & Chen, Hao, 2021. "Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    • Handle: RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000469
    DOI: 10.1016/j.pacfin.2021.101539
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    Cited by:

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    5. Shabir, Mohsin & Jiang, Ping & Bakhsh, Satar & Zhao, Zhongxiu, 2021. "Economic policy uncertainty and bank stability: Threshold effect of institutional quality and competition," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    6. Wang, Jie & Liu, Tangyong & Pan, Na, 2023. "Analyzing quantile spillover effects among international financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    7. Kishwar Ali & Hu Hongbing & Chee Yoong Liew & Du Jianguo, 2023. "Governance perspective and the effect of economic policy uncertainty on financial stability: evidence from developed and developing economies," Economic Change and Restructuring, Springer, vol. 56(3), pages 1971-2002, June.
    8. Wang, Dong & Wang, Ziwei & Zong, Xiaohua, 2023. "Impact of economic policy uncertainty on higher education expansion," Finance Research Letters, Elsevier, vol. 52(C).
    9. Guo, Junjie & Li, Youshu & Shao, Qinglong, 2022. "Cross-category spillover effects of economic policy uncertainty between China and the US: Time and frequency evidence," Journal of Asian Economics, Elsevier, vol. 80(C).

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    More about this item

    Keywords

    Economic uncertainty; Economic policy uncertainty; Spillover effects; Spillover network structure; Asia-Pacific region;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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