Zhuo Huang, Chen Tong, Han Qiu, Yan Shen, The spillover of macroeconomic uncertainty between the U.S. and China, Economics Letters, Volume 171, 2018, Pages 123-127
Download reference Doi:10.1016/j.econlet.2018.07.018
We investigate the spillover of macroeconomic uncertainty between the U.S. and China since 2002.
Following Jurado et al. (2015), we construct a monthly aggregate macroeconomic uncertainty index for
China from 224 economic variables. The structural vector autoregression model suggests a unidirectional
spillover of macroeconomic uncertainty from the U.S. to China. Both U.S. and Chinese uncertainty have
negative effects on China’s real economy, but the impact of U.S. uncertainty is greater.