The uncertainty spillovers of China's economic policy: Evidence from time and frequency domains
研究了2000-2020年间中国财政、货币、贸易和汇率政策之间的不确定性溢出，发现总溢出水平高（46.11%），低频溢出（24.90%）高于高频（19.65%），财政政策是高频主要发送者，货币政策是低频主要发送者，全球金融危机和欧债危机期间溢出增加但冲击来源不同。
Abstract In this paper, we investigate the uncertainty spillovers among China's four important economic policies (i.e., fiscal, monetary, trade and exchange rate policy) during the period 2000–2020, based on the spillover framework of Diebold and Yilmaz, The Economic Journal, 2009, 119, 158–171 and Diebold and Yilmaz, International Journal of Forecasting, 2012, 28, 57–66. Considering the heterogeneity of shocks in frequency domain, we also use the frequency methodology of Baruník and Křehlík, Journal of Financial Econometrics, 2018, 16, 271–296. Our results are summarized as follows: (a) the uncertainty spillover between China's different economic policies is high (46.11%) and the low‐frequency spillover (24.90%) is higher than the high‐frequency spillover (19.65%); (b) fiscal policy acts as the mainly uncertainty transmitter on high‐frequency, while monetary policy on low‐frequency; (c) the uncertainty spillover increased in the global financial crisis (2007–2009) and the European debt crisis (2010–2011) and (d) we found that the increase in the former is due to long‐term shocks, while the latter is due to short‐term shocks.