TY - JOUR
T1 - Economic policy uncertainty spillovers in small open economies
T2 - The case of Hong Kong
AU - Luk, Sheung Kan
AU - Cheng, Michael
AU - Ng, Philip
AU - Wong, Ken
N1 - Funding Information:
The authors would like to thank Lillian Cheung and Frank Leung for their useful comments. We also thank Franco Lam Jocelyn Chen and Yun Huang for their outstanding research assistance.
PY - 2020/2/1
Y1 - 2020/2/1
N2 - This paper studies the extent to which economic policy uncertainty shocks in major economies affect real economic activity in small open economies. We use Hong Kong as a case study. Following Baker, Bloom and Davis (2016), we construct a newspaper-based economic policy uncertainty index for Hong Kong for the period 1998 to 2016. We estimate international spillovers of uncertainty and find large spillovers of uncertainty from major economies to Hong Kong. Furthermore, using a structural vector autoregressive approach, we show that a rise in domestic economic policy uncertainty leads to tight financial conditions, and lower investment and vacancy posting, dampening domestic output growth.
AB - This paper studies the extent to which economic policy uncertainty shocks in major economies affect real economic activity in small open economies. We use Hong Kong as a case study. Following Baker, Bloom and Davis (2016), we construct a newspaper-based economic policy uncertainty index for Hong Kong for the period 1998 to 2016. We estimate international spillovers of uncertainty and find large spillovers of uncertainty from major economies to Hong Kong. Furthermore, using a structural vector autoregressive approach, we show that a rise in domestic economic policy uncertainty leads to tight financial conditions, and lower investment and vacancy posting, dampening domestic output growth.
UR - http://www.scopus.com/inward/record.url?scp=85053419814&partnerID=8YFLogxK
U2 - 10.1111/1468-0106.12283
DO - 10.1111/1468-0106.12283
M3 - Journal article
AN - SCOPUS:85053419814
SN - 1361-374X
VL - 25
SP - 21
EP - 46
JO - Pacific Economic Review
JF - Pacific Economic Review
IS - 1
ER -