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