Exploring the relationship between China's economic policy uncertainty and business cycles: Exogenous impulse or endogenous responses?

IF 5.6 2区 经济学 Q1 BUSINESS, FINANCE
Li Yujia , Zhu Zixiang , Che Ming
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引用次数: 0

Abstract

This paper explores China's endogeneity of economic policy uncertainty (EPU). Previous studies have disagreed on the causal relationship between uncertainty and the business cycle. By using shock-based restrictions, we identify structural shocks and investigate the endogeneity of China's EPU index. The findings suggest that an increase in EPUs is more likely to cause fluctuations in the Chinese economy than the reverse. The paper also uncovers spillovers of China's EPU on the US EPU, indicating a national strategy at play. In the long run, EPU shocks in China account for at least 22% of China's economic activity variation and 30% of the US EPU variation. These findings remain consistent when accounting for the COVID-19 period, adopting heteroskedasticity identification schemes, and using alternative EPU indexes.

探索中国经济政策不确定性与商业周期之间的关系:外生脉冲还是内生反应?
本文探讨了中国经济政策不确定性(EPU)的内生性。以往的研究在不确定性与商业周期之间的因果关系上存在分歧。通过使用基于冲击的限制,我们识别了结构性冲击,并研究了中国 EPU 指数的内生性。研究结果表明,EPU 指数的上升更有可能导致中国经济的波动,而不是相反。本文还揭示了中国 EPU 对美国 EPU 的溢出效应,表明国家战略在起作用。从长期来看,中国 EPU 的冲击至少占中国经济活动变化的 22%,占美国 EPU 变化的 30%。在考虑 COVID-19 期间、采用异方差识别方法和使用其他 EPU 指数时,这些研究结果保持一致。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.10
自引率
4.20%
发文量
85
审稿时长
100 days
期刊介绍: The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.
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