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Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific network

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  • LI, Yang
  • Luo, Jingqiu
  • Jiang, Yongmu

Abstract

This study investigates the impact of policy uncertainties on the financial markets in the Asia-Pacific region using a complex network analysis. A new daily economic policy uncertainty (EPU) index was build using Global Database of Events, Language, and Tone data. The results show that China is the Asia-Pacific EPU network's center and the US stock market is the most important intermediary in the financial network. We also construct an uncertainty spillover network by combining the EPU and financial networks. The findings reveal that the US EPU and SPX indexes are the most important sources of uncertainties in the spillover network. The network dynamics show that during the US-China trade war, the correlations between the EPU and financial networks decreased significantly, while the COVID-19 outbreak has increased the combined network's density.

Suggested Citation

  • LI, Yang & Luo, Jingqiu & Jiang, Yongmu, 2021. "Policy uncertainty spillovers and financial risk contagion in the Asia-Pacific network," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    • Handle: RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000615
    DOI: 10.1016/j.pacfin.2021.101554
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    JEL classification:

    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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