Welcome to Francis Academic Press

Academic Journal of Business & Management, 2023, 5(1); doi: 10.25236/AJBM.2023.050105.

Sino-US Economic Policy Uncertainty and Spillover Effect of Asset Price Volatility in China

Author(s)

Xinyun Han

Corresponding Author:
Xinyun Han
Affiliation(s)

School of Applied Economics, University of Chinese Academy of Social Sciences, Beijing, 102488, China

Abstract

By constructing a TVP-VAR-DY model, this paper investigates the dynamic spillover effect of Sino-US economic policy uncertainty on China's asset price volatility. The study finds that Sino-US EPU is the net exporter of China's asset price volatility spillover effect, and the net spillover effect of Sino-US EPU on China's asset prices volatility deviates from the EPU index trends of the respective countries. EPUs in China and the United States are observed in a state of mutual spillover. The network structure of the net spillover effect of asset price volatility between China and the United States shows a dynamic evolutional trend, and the spillover effect of EPU index on asset price volatility in China is heterogeneous in different periods and different levels.

Keywords

Economic Policy Uncertainty, Spillover Effect, Asset Price Volatility

Cite This Paper

Xinyun Han. Sino-US Economic Policy Uncertainty and Spillover Effect of Asset Price Volatility in China. Academic Journal of Business & Management (2023) Vol. 5, Issue 1: 28-34. https://doi.org/10.25236/AJBM.2023.050105.

References

[1] Colombo, V. (2013) Economic policy uncertainty in the us: does it matter for the euro area? Economics Letters, 121(1), 39-42.

[2] A, S. K., & B, R. S. (2014) International spillovers of policy uncertainty. Economics Letters, 124(3), 508-512.

[3] Kido, Y. (2018) The transmission of us economic policy uncertainty shocks to asian and global financial markets. North American Journal of Economics & Finance, 46(NOV.), 222-231.

[4] L Pástor, & Veronesi, P. (2012) Uncertainty about government policy and stock prices. Journal of Finance, 67(4), 1219–1264.

[5] Jonathan Brogaard, Andrew Detzel. (2015) The Asset-Pricing Implications of Government Economic Policy Uncertainty. Management Science 61(1):3-18.

[6] Ioannidis, C., & Kook, K. A. (2021) Economic policy uncertainty and bond risk premia. Journal of Money Credit and Banking.

[7] Christophe, Andre, Rangan, Gupta, Nikolaos, & Antonakakis. (2015) Dynamic co-movements between economic policy uncertainty and housing market returns. Journal of Real Estate Portfolio Management.

[8] Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi. (2017) Policy Uncertainty and House Prices in the United States, Journal of Real Estate Portfolio Management, 23:1, 73-85.

[9] Krol, R. (2014) Economic Policy Uncertainty and Exchange Rate Volatility. International Finance, 17: 241-256.

[10] Kido, & Yosuke. (2016) On the link between the us economic policy uncertainty and exchange rates. Economics Letters, 144, 49-52.

[11] Antonakakis N, Chatziantoniou I, Gabauer D. (2020) Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions. Journal of Risk and Financial Management. 13(4):84.