Impact of economic policy uncertainty shocks on China's financial conditions

By Zhenghui Li, Junhao Zhong. Finance Research Letters, 2020

149 citations recorded by the source corpus.

Abstract This study explores the effect of global economic policy uncertainty (EPU) shocks on China's financial conditions index (CFCI) and analyzes the sources of uncertainty shocks. The results of the spillover index showed that the spillover effects of global EPU on CFCI were concentrated in the crisis periods, but mostly insignificant effect in the normal periods. The uncertainty shocks emanating from China itself were the major sources of China's financial markets volatility and the US EPU appeared to be the most significant exogenous cause of the fall of CFCI. The source of long-term uncertainty shocks changed over time.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/556f29a871a817bca806064c58be2399731d5f68

Citations in the corpus

• Coronavirus and Oil Price Crash (2020, unknown): “ty represents a reliable cause of financial markets volatility as shown by Antonakakis et al. (2013), Li et al. (2019), Mei et al. (2018), Phan et al. (2020), Su et al., (2019), Tiwari et al. (2019), Zhenghui and Junhao (2019). 4 Albulescu (2020) already investigated the effect of COVID-19 numbers o”