scholarly journals Economic Policy Uncertainty (EPU) and China's Export Fluctuation in the Post-pandemic Era: An Empirical Analysis based on the TVP-SV-VAR Model

2021 ◽  
Vol 9 ◽  
Author(s):  
Guoheng Hu ◽  
Shan Liu
Keyword(s):  
Economic Policy ◽  
Var Model ◽  
Export Trade ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Short Term ◽  
Monthly Data ◽  
Economic Policy Uncertainty ◽  
Risk Monitoring ◽  
Trade Control

In the COVID-19 pandemic, the bidirectional policy adopted by the governments to stimulate domestic economy and reinforce foreign trade control is making the trade environment abnormally complex. China is facing a new challenge in export trade growth. Based on the continuous monthly data from January 2002 to April 2021, this paper uses the time-varying TVP-SV-VAR model to study the impulse response of China's export trade to economic policy uncertainty (EPU). It is found that (1) on the whole, the shock of global EPU and China's EPU on China's export to the OBOR/RCEP member countries is time-varying, different, and structurally significant; (2) during the pandemic, EPU has a significant short-term negative shock on China's gross exports and export to OBOR/RCEP members, and this shock is especially big in the case of global EPU. In the post-pandemic era, China should strengthen pandemic control and economic risk monitoring, continue with execution of multilateral FTAs and create a sustainably stable export trade environment.

Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives

2020 ◽  
Vol 8 (5) ◽  
pp. 401-433
Author(s):  
Jinxin Cui ◽  
Huiwen Zou
Keyword(s):  
Economic Policy ◽  
Financial Crisis ◽  
Spillover Effects ◽  
The United States ◽  
Practical Significance ◽  
Policy Uncertainty ◽  
The Novel ◽  
Short Term ◽  
Economic Policy Uncertainty ◽  
Crisis Period

AbstractThis paper investigates the frequency connectedness among economic policy uncertainties of G20 countries using the novel frequency connectedness proposed by Barunik and Krehlik (2018) which can depict the dynamic connectedness not only over time but also across different frequencies. The empirical results obtained in this paper demonstrate that, firstly, the connectedness among economic policy uncertainties is significant, and the spillover effects during the financial crisis and the post-financial crisis period are stronger than the pre-financial crisis period. Secondly, the United States, France, and Australia are the main net-transmitters of the economic policy uncertainty spillovers while Brazil, Italy, Mexico, and Russia act as the main net-recipients of the spillovers. Thirdly, the major international events may significantly enhance the spillover transmissions of economic policy uncertainty among different countries, thus increasing the magnitude of the total connectedness. Finally, the economic policy uncertainty spillovers are mainly transmitted in the short term, i.e., 1∼4 months instead of longer time horizons in terms of the magnitude of the frequency connectedness measures. The findings of this paper not only have profound theoretical and practical significance but also provide several significant implications for the policymakers, supervision agents, international traders, and various investors.

scholarly journals Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation

2020 ◽  
Vol 12 (16) ◽  
pp. 6523 ◽  
Author(s):  
Yanhong Feng ◽  
Dilong Xu ◽  
Pierre Failler ◽  
Tinghui Li
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Price Volatility ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Crude Oil Price ◽  
Price Fluctuation ◽  
Economic Policy Uncertainty ◽  
Oil Price Fluctuation

Due to multiple properties, the international crude oil price is influenced by various and complex interrelated factors from different determinants in different periods. However, the previous studies on crude oil price fluctuation with economic policy uncertainty (EPU) haven’t taken a wider range of volatility sources into their analysis frameworks. In this paper, the time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is introduced in order to avoid important information loss, as well as capture the time-varying impact on crude oil price fluctuation by EPU. Furthermore, the differences on crude oil fluctuations from net-oil exporting and net-oil importing country’s EPU are also elaborated. Here are three findings as follows. First, the impacts of global EPU on the crude oil price volatility show time-varying characteristics both in time duration and time-points. Second, the instantaneous impacts of global EPU on the price volatility of crude oil are directly relevant to major events, and the impacts are different in event types as well. Third, the time-varying characteristics depicting the impacts of EPU in countries who are net-oil exporter and net-oil importer on price volatility of crude oil show heterogeneity in fluctuation range, fluctuation intensity, and stage.

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