Assessment of Economic Policy Uncertainty spillovers: A cross-border analysis of global and BRIC economies

Abstract

This study empirically assesses the dynamics of variation in economic policy uncertainty over the financial markets of BRIC countries, including Brazil, Russia, India, and China. Using monthly frequency data from January 2003 to June 2023 and employing Diebold and Yilmaz (2012) spillover estimation framework, we find a significant influence of global economic policy uncertainty on the BRIC economies that varies with the time horizons. The findings show a total spillover of 35.65% in the global and BRIC economic policy uncertainty. The highest gross directional spillover is reported globally and in China, while Brazil shows the lowest directional gross economic policy uncertainty spillover. However, the global economic policy uncertainty transmits the highest net directional spillover. The study provides practical policy implications in adopting a comprehensive, globally informed approach to economic policy decisions and risk mitigation strategies to navigate the evolving landscape of economic policy uncertainties effectively.