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The Spillover of Macroeconomic Uncertainty between the U.S. and China


E2018012                         2018-04-01


Zhuo Huang  Chen Tong   Han Qiu   Yan Shen

National School of Development, Peking University



We investigate the spillover of macroeconomic uncertainty between the U.S. and China since 2002. Following the method of Jurado et al. (2015), we construct a monthly aggregate macroeconomic uncertainty index for China from 224 economic variables. The Granger causality test suggests a unidirectional spillover of macroeconomic uncertainty from the U.S. to China. The U.S. uncertainty has significant dynamic effects on China’s major economic variables that are even larger than the effects of China’s own uncertainty.