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2018-07-26 | Peer Reviewed

The Spillover of Macroeconomic Uncertainty between the U.S. and China

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.