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### 经济政策不确定性的溢出效应及形成机理研究

• 出版日期:2019-01-25 发布日期:2019-01-16

### A Study on the Spillover Effect and Its Formation Mechanism of Economic Policy Uncertainty

Zhang Xiyan & Chen Leyi

• Online:2019-01-25 Published:2019-01-16

Abstract: In view of the generalized forecast error variance decomposition (Diebold & Yilmaz, 2012), this paper measures the spillover effect of economic policy uncertainty (EPU) and explores its formation mechanism based on EPU index over the period from January 2003 to May 2017. It is found that i) the spillover effect in the developed countries is stronger than that in the developing countries in general; ii) it is more sensitive to the emergencies than to the expected events. Applied with the individual and time effect controlled and the feasible generalized least squares (FGLS) estimation on panel fixed effect, the empirical results show that the effect of EPU and its partial effect of its volatility on the spillover is positive, and the estimated coefficient of the volatile value is higher than the mean value, so the EPU is mainly objectified as a volatile spillover effect. According to the quantile regression estimation, the mean and volatile values of foreign trade and economic policy uncertainty, as well as the absolute value of the cross item estimated coefficient turns large gradually, and the factors that play a major role in the spillover effect change. Therefore, each of the countries need to seek the endogenous driving force for its economic growth and to reduce its international dependence, in order to fend off the spillover of the economic policy uncertainty from other countries.