과제정보
This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2021S1A5A8068669).
참고문헌
- Ahir, H., Bloom, N. and D. Furceri. 2022. "The world uncertainty index." NBER Working Papers, no. 29763. National Bureau of Economic Research.
- Aizenman, J., Chinn, M. D. and H. Ito. 2010. "The emerging global financial architecture: Tracing and evaluating new patterns of the trilemma configuration." Journal of International Money and Finance, vol. 29, no. 4, pp. 615-641.
- Baker, S. R., Bloom, N. and S. J. Davis. 2016. "Measuring economic policy uncertainty." Quarterly Journal of Economics, vol. 131, no. 4, pp. 1593-1636.
- Basu, S. and B. Bundick. 2017. "Uncertainty shocks in a model of effective demand." Econometrica, vol. 85, no. 3, pp. 937-958.
- Belke, A. and T. Osowski. 2019. "International effects of euro area versus us policy uncertainty: A favar approach." Economic Inquiry, vol. 57, no. 1, pp. 453-481.
- Bhattarai, S., Chatterjee, A. and W. Y. Park. 2020. "Global spillover effects of us uncertainty." Journal of Monetary Economics, vol. 114, pp. 71-89.
- Bloom, N. 2009. "The impact of uncertainty shocks." Econometrica, vol. 77, no. 3, pp. 623-685.
- Bock, M., Feldkircher, M. and P. L. Siklos. 2021. "International effects of euro area forward guidance." Oxford Bulletin of Economics and Statistics, vol. 83, no. 5, pp. 1066-1110.
- Carriere-Swallow, Y. and L. F. Cespedes. 2013. "The impact of uncertainty shocks in emerging economies." Journal of International Economics, vol. 90, no. 2, pp. 316-325.
- Chen, K., Ren, J. and T. Zha. 2018. "The nexus of monetary policy and shadow banking in china." American Economic Review, vol. 108, no. 12, pp. 3891-3936.
- Chinn, M. D. and H. Ito. 2006. "What matters for financial development? capital controls, institutions, and interactions." Journal of Development Economics, vol. 81, no. 1, pp. 163-192.
- Chudik, A., Mohaddes, K. and M. Raissi. 2021. "Covid-19 fiscal support and its effectiveness." Economics Letters, vol. 205.
- Chudik, A. and M. H. Pesaran. 2016. "Theory and practice of GVAR modelling." Journal of Economic Surveys, vol. 30, no. 1, pp. 165-197.
- Cogley, T. and T. J. Sargent. 2005. "Drifts and volatilities: monetary policies and outcomes in the post WWII US." Review of Economic Dynamics, vol. 8, no. 2, pp. 262-302.
- Crespo-Cuaresma, J., Doppelhofer, G., Feldkircher, M. and F. Huber. 2019. "Spillovers from us monetary policy: evidence from a time varying parameter global vector autoregressive model." Journal of the Royal Statistical Society Series A: Statistics in Society, vol. 182, no. 3, pp. 831-861.
- Davis, S. J., Liu, D. and X. S. Sheng. 2019. "Economic policy uncertainty in china since 1949: The view from mainland newspapers." Paper presented in the Fourth IMF-Atlanta Fed Research Workshop on China's Economy. Atlanta. September 19-20, 2019. Federal Reserve Bank of Atlanta.
- Dees, S., di Mauro, F., Pesaran, M. H. and L. V. Smith. 2007. " Exploring the international linkages of the euro area: a global var analysis." Journal of Applied Econometrics, vol. 22, no. 1, pp. 1-38.
- Diebold, F. X. and K. Yilmaz. 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms." Journal of Econometrics, vol. 182, no. 1, pp. 119-134.
- Eickmeier, S. and M. Kuhnlenz. 2018. "China's role in global inflation dynamics." Macroeconomic Dynamics, vol. 22, no. 2, pp. 225-254.
- Fernald, J. G., Spiegel, M. M. and E. T. Swanson. 2014. "Monetary policy effectiveness in china: Evidence from a favar model." Journal of International Money and Finance, vol. 49, pp. 83-103.
- Fontaine, I., Razafindravaosolonirina, J. and L. Didier. 2018. "Chinese policy uncertainty shocks and the world macroeconomy: Evidence from STVAR." China Economic Review, vol. 51, pp. 1-19.
- Gambetti, L. and A. Musso. 2017. "Loan supply shocks and the business cycle." Journal of Applied Econometrics, vol. 32, no. 4, pp. 764-782.
- Geiger, M. 2008. "Instruments of monetary policy in China and their effectiveness: 1994-2006." UNCTAD Discussion Papers, no. 187. United Nations Conference on Trade and Development.
- Han, L., Qi, M. and L. Yin. 2016. "Macroeconomic policy uncertainty shocks on the chinese economy: a GVAR analysis." Applied Economics, vol. 48, no. 51, pp. 4907-4921.
- Huang, Y. and P. Luk. 2020. "Measuring economic policy uncertainty in china." China Economic Review, vol. 59.
- Huang, Z., Tong, C., Qiu, H. and Y. Shen. 2018. "The spillover of macroeconomic uncertainty between the US and China." Economics Letters, vol. 171, pp. 123-127.
- Jiang, Y., Zhu, Z., Tian, G. and H. Nie. 2019. "Determinants of within and cross-country economic policy uncertainty spillovers: Evidence from US and China." Finance Research Letters, vol. 31.
- Jones, P. M. and E. Olson. 2015. "The international effects of us uncertainty." International Journal of Finance & Economics, vol. 20, no. 3, pp. 242-252.
- Kastner, G. and S. Fruhwirth-Schnatter. 2014. "Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models." Computational Statistics & Data Analysis, vol. 76, pp. 408-423.
- Kim, W. 2020. "Impacts of RMB devaluation on china's trade balances: a time-varying svar approach." Applied Economics, vol. 52, no. 45, pp. 4952-4966.
- Klossner, S. and R. Sekkel. 2014. "International spillovers of policy uncertainty." Economics Letters, vol. 124, no. 3, pp. 508-512.
- Lakdawala, A., Moreland, T. and M. Schaffer. 2021. "The international spillover effects of us monetary policy uncertainty." Journal of International Economics, vol. 133.
- Lastauskas, P. and A. Nguyen. 2021. "Global impacts of us monetary policy uncertainty shocks." ECB Working Paper Series, no. 2513. European Central Bank.
- Leduc, S. and Z. Liu. 2016. "Uncertainty shocks are aggregate demand shocks." Journal of Monetary Economics, vol. 82, pp. 20-35.
- Ludvigson, S. C., Ma, S. and S. Ng. 2021. "Uncertainty and business cycles: exogenous impulse or endogenous response?" American Economic Journal: Macroeconomics, vol. 13, no. 4, pp. 369-410.
- Mohaddes, K. and M. Raissi. 2020. "Compilation, revision and updating of the global VAR (GVAR) database, 1979Q2-2019Q4." August 7. Mimeo. https://www.econ.cam.ac.uk/people-files/faculty/km418/GVAR%20Database%20(1979Q2-2019Q4).pdf
- Mwase, N., N'Diaye, P. M., Oura, H., Ricka, F., Svirydzenka, K. and Y. S. Zhang. 2016. Spillovers from China: financial channels. International Monetary Fund.
- Pesaran, M. H., Schuermann, T. and S. M. Weiner. 2004. "Modeling regional interdependencies using a global error-correcting macroeconometric model." Journal of Business & Economic Statistics, vol. 22, no. 2, pp. 129-162.
- Primiceri, G. E. 2005. "Time varying structural vector autoregressions and monetary policy." Review of Economic Studies, vol. 72, no. 3, pp. 821-852.
- Redl, C. 2017. "The impact of uncertainty shocks in the United Kingdom." Staff Working Paper, no. 695. Bank of England.
- Redl, C. 2020. "Uncertainty matters: evidence from close elections." Journal of International Economics, vol. 124.
- Rubio-Ramirez, J. F., Waggoner, D. F. and T. Zha. 2010. "Structural vector autoregressions: Theory of identification and algorithms for inference." Review of Economic Studies, vol. 77, no. 2, pp. 665-696.
- Shu, C. He, D. Wang, H. and J. Dong. 2015. "The influence of chinese and us financial markets on asia-pacific." Paper presented in the joint conference of Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability. Wellington, New Zealand. 23-24 October, 2014.
- Stock, J. H. 2001. "[Evolving post-World War II US inflation dynamics]: Comment." NBER Macroeconomics Annual, vol. 16, pp. 379-387.
- You, W., Guo, Y., Zhu, H. and Y. Tang. 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in china: Asymmetric effects with quantile regression." Energy Economics, vol. 68, pp. 1-18.
- Zhang, D., Lei, L., Ji, Q. and A. M. Kutan. 2019. "Economic policy uncertainty in the us and china and their impact on the global markets." Economic Modelling, vol. 79, pp. 47-56.