Academic Journal of Business & Management, 2023, 5(1); doi: 10.25236/AJBM.2023.050105.
Xinyun Han
School of Applied Economics, University of Chinese Academy of Social Sciences, Beijing, 102488, China
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.
Economic Policy Uncertainty, Spillover Effect, Asset Price Volatility
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.
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