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Do Domestic and US Economic Policy Uncertainty Increase China’s Macro-Financial Risk Connectedness?
https://doi.org/10.20561/0002001295
https://doi.org/10.20561/0002001295314e7c42-3ce9-465a-b1ea-60ffb3d328c7
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
Full-text PDF (891.6 KB)
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| Item type | アジ研テクニカルレポート / IDE Technical Report(1) | |||||||||||
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| 公開日 | 2025-03-10 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Do Domestic and US Economic Policy Uncertainty Increase China’s Macro-Financial Risk Connectedness? | |||||||||||
| 言語 | en | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | China | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | United States | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Economic policy | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Macroeconomics | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Economic policy uncertainty | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Macro-financial risk connectedness | |||||||||||
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| 主題Scheme | Other | |||||||||||
| 主題 | MFTVP-LBVAR | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Smooth local projection | |||||||||||
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| 主題Scheme | Other | |||||||||||
| 主題 | China-US trade conflict | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||
| 資源タイプ | technical report | |||||||||||
| ID登録 | ||||||||||||
| ID登録 | 10.20561/0002001295 | |||||||||||
| ID登録タイプ | JaLC | |||||||||||
| 著者 |
Hu,Chunyang
× Hu,Chunyang
× 周,揚
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| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | While economic policy uncertainty (EPU) has been shown to increase systemic risk within financial institutions, there is limited knowledge about the role of EPU in influencing the risk connectedness (spillover) between financial markets and macroeconomic sectors. This paper provides a systematic analysis and comparison of how China’s macro-financial risk connectedness in responds to an increase in domestic and US EPU. The results suggest that: (i) an increase in domestic EPU leads to a significant rise in macro-financial total risk connectedness for at least two years; (ii) specifically, the increase in domestic EPU causes financial markets to act more as transmitters of risk, while macroeconomic sectors act more as receivers of risk; (iii) categorical EPUs exhibit a similar pattern to the overall EPU, with China’s monetary policy uncertainty (MPU) having the largest effects; (iv) US EPU also increases China’s macro-financial risk connectedness, though the impact is lower in magnitude and shorter in duration; (v) however, during the US-China trade conflict, a rise in US TPU causes a more significant and persistent increase in China’s macro-financial risk connectedness. | |||||||||||
| 言語 | en | |||||||||||
| item_14_rights_5 | ||||||||||||
| 言語 | en | |||||||||||
| 権利情報 | Copyrights 2025 by author(s) | |||||||||||
| bibliographic_information |
en : IDE Discussion Paper 巻 957, 発行日 2025-03 |
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| 出版者 | ||||||||||||
| 出版者 | Institute of Developing Economies (IDE-JETRO) | |||||||||||
| 出版タイプ | ||||||||||||
| 出版タイプ | VoR | |||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
| JEL分類 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | JEL:G18 - Government Policy and Regulation | |||||||||||
| JEL分類 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | JEL:G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill | |||||||||||
| JEL分類 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | JEL:C58 - Financial Econometrics | |||||||||||
| JEL分類 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | JEL:F30 - General | |||||||||||
| 地域/国名 | ||||||||||||
| 位置情報（自由記述） | China | |||||||||||
| 地域/国名 | ||||||||||||
| 位置情報（自由記述） | United States | |||||||||||
| フォーマット | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | application/pdf | |||||||||||
| 言語 | en | |||||||||||
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| 内容記述タイプ | Other | |||||||||||
| 内容記述 | IDP000957_001 | |||||||||||
