Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries

We study the spillover effects and networks of economic uncertainty in 12 Asia-Pacific countries from 2000 to 2020, combining the mixed frequency expectation maximization algorithm and factor-augmented vector autoregressive model to construct economic uncertainty indexes. Our estimates suggest a complex and closely related network of economic uncertainty in the AsiaPacific region, with both developed and developing countries as important network nodes. In contrast, the spillover networks of economic policy uncertainty are dominated by a few developed countries. The study provides a new reference for Asia-Pacific countries to assess uncertainty more accurately and implement more forward-looking economic policies.

Automated summary

The study reveals a complex and closely related network of economic uncertainty in the Asia-Pacific region, with both developed and developing countries playing important roles. However, the spillover networks of economic policy uncertainty are largely dominated by a few developed countries.