Research Article
Volatility Spillover Effect of U.S. Economic Policy Uncertainty on China's Financial Submarkets
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326913, author={Huijie Ma and Zihan Guo and Huijing Yang and Xinjian Ji}, title={Volatility Spillover Effect of U.S. Economic Policy Uncertainty on China's Financial Submarkets}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={dcc-garch; aepu; china's financial submarkets;}, doi={10.4108/eai.18-11-2022.2326913} }- Huijie Ma
Zihan Guo
Huijing Yang
Xinjian Ji
Year: 2023
Volatility Spillover Effect of U.S. Economic Policy Uncertainty on China's Financial Submarkets
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326913
Abstract
As the uncertainty of American economic policy increases, the impact of it on China, a rapidly developing country which is constantly improving its financial market, cannot be ignored. In this paper, we divide China's financial market into eight submarkets, and use the DCC-GARCH model to compare and analyze the volatility spillover effects of U.S. economic policy uncertainty on these different financial submarkets in China from the macro level. Results show that the U.S. economic policy uncertainty promotes China's stock market volatility most of the time, which highlights that the stock market is more vulnerable to the impact of external information. It also turns out that the U.S. economic policy suppresses the volatility of the bond market and money market most of the time, highlighting the hedging function of these two markets to external shocks. Besides, results show that the U.S. economic policy uncertainty has no obvious impact on the volatility of other submarkets.