Dynamic connectedness network in economic policy uncertainties

ABSTRACT

This study investigates the dynamic connectedness across nine economic policy uncertainty indexes. Our results indicate that the total spillover index is on average 67.4%, indicating a high level of interconnectedness across the nine indexes. In particular, the EU is the largest transmitter of uncertainty connectedness. In addition, China becomes a net transmitter of connectedness during the global financial crisis and European debt crisis. This finding indicates that the uncertainty of Chinese economic policy is an important contributor to the connectedness of the uncertainty network.

KEYWORDS:

• Dynamic connectedness
• economic policy uncertainty
• network
• spillover index

JEL CLASSIFICATION:

• C51
• F37
• G15
• G18

Acknowledgements

The second author (Seong-Min Yoon) is grateful for the financial support received from the National Research Foundation of Korea (NRF-2016S1A3A2924349).

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

The second author (Seong-Min Yoon) is grateful for the financial support received from the National Research Foundation of Korea [NRF-2016S1A3A2924349].