A Global Network of Economic Policy Uncertainty Spillovers
摘要
This paper revisits the estimation of economic policy uncertainty spillovers across countries. This is worthwhile because data are becoming available for more countries at a rapid pace and new crises occurred recently, potentially altering existing spillover patterns. Moreover, measurement of uncertainty across countries may not be entirely consistent. Against this background, we carefully construct a global network of uncertainty spillovers by cleaning the data corresponding to the different countries. The final network includes data for 22 countries and covers the period from 1997 to 2022. Using a Lasso-VAR model to manage the network’s dimensionality, we estimate an average total spillover of 66%, with the US as the central node. This value, higher than in previous literature, suggests that not including enough countries may underestimate global spillover. The implication of this paper is that global spillover is higher than previously expected, hence policymakers should consider global events even when formulating local policies.