ScienceDirect Publication: Finance Research Letters
Tue, 19 Nov 2019 12:01:30 GMT language
Publication date: December 2019
Source: Finance Research Letters, Volume 31
Author(s): Yonghong Jiang, Zixuan Zhu, Gengyu Tian, He Nie
We use a relatively novel TVP-VAR method to calculate spillovers and explore determinants of spillovers of categorical policy uncertainties within and across China and US. Our results show that both domestic and cross-country spillovers of China and US are mostly affected by bilateral trade, exchange rate and investor sentiment. Furthermore, we find that some major events may reverse the spillovers direction and there is no winner in the China-US trade conflicts.