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This study examines how uncertainty spillovers from G7 countries and China affect the share of equity in outbound cross-border acquisitions from 1996 to 2020. We show that higher uncertainty spillovers from the G7 and China significantly decrease the share of equity sought in outbound cross-border acquisitions. The effect becomes stronger when the target countries are emerging economies and have low institutional quality. Finally, the negative relationship between uncertainty spillovers and the share of equity sought remains statistically significant across a wide range of robustness tests namely, adding more control variables, subsample analysis and alternative estimation methods. [ABSTRACT FROM AUTHOR]

In this paper, we investigate the uncertainty spillovers among China's four important economic policies (i.e., fiscal, monetary, trade and exchange rate policy) during the period 2000–2020, based on the spillover framework of Diebold and Yilmaz, The Economic Journal, 2009, 119, 158–171 and Diebold and Yilmaz, International Journal of Forecasting, 2012, 28, 57–66. Considering the heterogeneity of shocks in frequency domain, we also use the frequency methodology of Baruník and Křehlík, Journal of Financial Econometrics, 2018, 16, 271–296. Our results are summarized as follows: (a) the uncertainty spillover between China's different economic policies is high (46.11%) and the low‐frequency spillover (24.90%) is higher than the high‐frequency spillover (19.65%); (b) fiscal policy acts as the mainly uncertainty transmitter on high‐frequency, while monetary policy on low‐frequency; (c) the uncertainty spillover increased in the global financial crisis (2007–2009) and the European debt crisis (2010–2011) and (d) we found that the increase in the former is due to long‐term shocks, while the latter is due to short‐term shocks. [ABSTRACT FROM AUTHOR]

Abstract We use the recently created monthly Interest Rate Uncertainty measure, to investigate monetary policy uncertainty across the US, Germany, France, Italy, Spain, UK, Japan, Canada, and Sweden in both the time and frequency domains. We find that the largest spillover indices are from innovations in the country itself; however, there are some instances where spillover indices between countries are large. These relationships change over time and we observe large variances in pairwise spillovers during the global financial crisis. We find that most of the volatility is confined to the crisis period. Policy makers should consider accounting for the spillovers from the US, Germany, France and Spain, as we found that they are the most consistent net transmitters of monetary policy uncertainty.

We use the recently created monthly Interest Rate Uncertainty measure, to investigate monetary policy uncertainty across the US, Germany, France, Italy, Spain, UK, Japan, Canada, and Sweden in both the time and frequency domains. We find that the largest spillover indices are from innovations in the country itself; however, there are some instances where spillover indices between countries are large. These relationships change over time and we observe large variances in pairwise spillovers during the global financial crisis. We find that most of the volatility is confined to the crisis period. Policy makers should consider accounting for the spillovers from the US, Germany, France and Spain, as we found that they are the most consistent net transmitters of monetary policy uncertainty. [ABSTRACT FROM AUTHOR]

This article studies the spillovers of economic policy uncertainty (EPU) from developed economies to China in terms of the source, extent and persistence by estimating a global vector autoregressive (GVAR) model with both financial and trade variables acting as the transmission channels. Our findings confirm the existence of international transmissions of policy uncertainty, while the patterns differ markedly. The US EPU appears to be the most significant cause of the fall of export, industrial production, equity price and exchange rate, meanwhile, the EU EPU is also to be blamed for the depreciation of RMB. In contrast to industrial production, which shows the largest negative impact, Chinese inflation increases to a relatively smaller extent with the EPU shocks ranking as the US, Japanese and the EU. Regardless of the minor impact on a long-term interest rate, the short-term interest rate in China reacts positively to the European and US EPU shocks. Despite the independent national monetary policies, EPUs from the EU, Japan and the UK can decrease the Chinese monetary aggregate. In summary, the Chinese economy responds the most to the US EPU, especially to its inflation expectation disagreement component, whereas it responds the least to the UK EPU. [ABSTRACT FROM AUTHOR]

We study the transmission mechanism of time-varying macroeconomic uncertainty across the US states. We analyse the contemporaneous and temporal causal relationships of uncertainty at the state level by utilising the Bayesian graphical VAR (BGVAR) model. Our results show that the current uncertainty of each state strongly depends on the previous level of uncertainty in its own state. We find evidence of strong contemporaneous and lagged dependence among US states. The analysis of this paper has important policy implications. • The dependence of macroeconomic uncertainty across US states was examined. • The Bayesian graphical VAR (BGVAR) model was used to study uncertainty spillovers. • Evidence of strong contemporaneous and lagged dependence among US states was found. [ABSTRACT FROM AUTHOR]