Cross-Border Spillover Effects Of Economic Policy Uncertainty

In recent years,the international situation is complicated,"black swan" events occur frequently,geopolitical risks have risen sharply,and countries are facing high uncertainty.In order to cope with the influence of political,economic and other factors,the governments of various countries frequently adjust their economic policies,resulting in a sharp rise in the level of economic policy uncertainty,and the spillover effect of economic policy uncertainty among various countries.In this context,it is of far-reaching significance to explore the transnational spillover effect of economic policy uncertainty between China and other major economies for preventing the impact of other countries’ economic policy adjustment on China and exploring the spillover structure of China’s economic policy environment.By using the TVP-VAR model to construct the time-varying economic policy uncertainty spillover index,this paper empirically analyzes the spillover effect of economic policy uncertainty(EPU)in 20 major economies(regions)including China from January 2000 to December 2021,and quantitatively and qualitatively examines the spillover effect of EPU in China.First of all,quantitatively analyze how much of the EPU spillover level in China is contributed by China,and how much is influenced by other countries? Further explore the spillover level of Chinese EPU in different economic stages of China;second,qualitatively analyze the spillover structure in global economic policy uncertainty spillover network,attach great importance to the countries closely related with our economy;and systematically study the determinants of economic policy uncertainty spillover against the negative effects of other economic policy uncertainty and promote domestic economic stability.Finally,the EPU refinement index of China and the United States is analyzed,and the specific spillover effects are explored from the four aspects of fiscal,monetary,trade and foreign exchange policies,and the impact of the specific adjustments of the US economic policies on China is studied.It is found that: first,the net spillover level of the United States is positive and the highest,while China’s net spillover is negative,and there is asymmetry in the EPU spillover effect in China at different stages of economic development.Second,the global EPU spillover level showed an upward trend,especially in the year of major events,the spillover effect of economic policy uncertainty increased significantly.Further exploring the directional spillover level,the overflow level fluctuated greatly in various countries,while the overflow level changed relatively stably,and there was obvious synergy.Third,China has developed extensive financial and trade links with other countries in the world,and plays an important role in the entire spillover network.Among the key countries closely linked to our economy,the United States occupies the core position of the entire spillover network,and the adjustment of US economic policy has a profound impact on the structure of the entire spillover network.Fourth,explore the decisive factors of China’s economic policy uncertainty spillover,the trade intensity,financial market correlation,exchange rate fluctuation,the higher the similarity of industrial structure,the higher the spillover effect of EPU;the economic cycle synergy is negatively correlated with the spillover effect of EPU,and countries with similar cultural background(language)are more vulnerable to the spillover of economic policy uncertainty.Fifth,the comparative analysis of the spillover matrix and directional spillover of China and the United States,the adjustment of the fiscal and trade policy of the United States has a great impact on China,China should always pay attention to the adjustment of the fiscal policy and trade policy of the United States,grasp the initiative,and reduce the impact of the spillover fluctuations.