Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries
| Autor: | Saijie Ding, Hao Chen, Wenjin Tang |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Mixed frequency Economic uncertainty 05 social sciences Developing country Contrast (statistics) 04 agricultural and veterinary sciences Asia pacific region Asia pacific Spillover effect Autoregressive model 0502 economics and business Economics Econometrics 0401 agriculture forestry and fisheries Finance |
| Zdroj: | Pacific-Basin Finance Journal. 67:101539 |
| ISSN: | 0927-538X |
| DOI: | 10.1016/j.pacfin.2021.101539 |
| Popis: | We study the spillover effects and networks of economic uncertainty in 12 Asia-Pacific countries from 2000 to 2020, combining the mixed frequency expectation maximization algorithm and factor-augmented vector autoregressive model to construct economic uncertainty indexes. Our estimates suggest a complex and closely related network of economic uncertainty in the Asia-Pacific region, with both developed and developing countries as important network nodes. In contrast, the spillover networks of economic policy uncertainty are dominated by a few developed countries. The study provides a new reference for Asia-Pacific countries to assess uncertainty more accurately and implement more forward-looking economic policies. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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