Cross-category and cross-country spillovers of economic policy uncertainty: Evidence from the US and China

Abstract

Using both time and frequency spillover index method, this paper studies the cross-category and cross-country spillover effect of economic policy uncertainty (EPU) within and between the US and China from January 2000 to May 2022. The empirical results show that the cross-category EPU spillover within China is higher than that within the US, and the cross-country EPU spillover from the US to China is higher than that from China to the US. More importantly, we found that trade policy plays the most important role in the cross-country spillover.