Purpose

This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal policy uncertainty (FPU) and monetary policy uncertainty (MPU) in four nations, the USA, Japan, Greece and South Korea, between 1998 and 2021.

Design/methodology/approach

To comprehend the cross-category/cross-country evolution of uncertainty connectedness, the authors use the conditional connectedness approach. By using an inclusive network, this strategy lessens the bias caused by omitted variables. The TVP-VAR method is advantageous as it eliminates outliers that may potentially skew the results and reduces the bias caused by picking arbitrary rolling windows.

Findings

Based on the findings, aggregate EPU is a net transmitter of policy uncertainties across all countries when conditional-country connectedness is used. MPU receives significantly more spillovers than FPU does across all countries, even though both are primarily recipients of uncertainties. The USA appears to be a transmitter of categorical spillovers before COVID-19, while Greece appears to be a net receiver of all category spillovers in terms of category-specific connectedness. The existence of extreme global events is also seen to cause an increase in category-specific and country-specific connectedness. Additionally, the authors report that conditional country-specific connectedness is greater than conditional category-specific connectedness.

Originality/value

This study expands existing literature in several ways. Firstly, the authors use a novel conditional connectedness approach, which has not been used to untangle cross-category/cross-country policy uncertainty connectedness. Secondly, they use the TVP-VAR approach which does not depend on rolling windows to understand dynamic connectedness. Thirdly, they use an expanded number of countries in their analysis, a departure from existing studies that have in most cases used two countries to understand categorical EPU connectedness.

中文翻译：

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跨国分类经济政策不确定性溢出效应：来自条件连通性 TVP-VAR 框架的证据

目的

本研究旨在调查 1998 年至 2021 年间美国、日本、希腊和韩国这四个国家的经济政策不确定性 (EPU)、财政政策不确定性 (FPU) 和货币政策不确定性 (MPU) 的动态关联性。

设计/方法/途径

为了理解不确定性连通性的跨类别/跨国演变，作者使用了条件连通性方法。通过使用包容性网络，该策略减少了由遗漏变量引起的偏差。TVP-VAR 方法是有利的，因为它消除了可能使结果产生偏差的异常值，并减少了因选择任意滚动窗口而导致的偏差。

发现

根据研究结果，当使用有条件的国家连通性时，总体 EPU 是所有国家政策不确定性的净传递者。MPU 在所有国家/地区收到的溢出效应明显多于 FPU，尽管两者都是不确定性的主要接受者。在 COVID-19 之前，美国似乎是类别溢出的传播者，而希腊似乎是所有类别溢出的净接收者，就特定类别的连通性而言。极端全球事件的存在也被视为导致特定类别和特定国家的联系增加。此外，作者报告说，特定国家/地区的条件连通性大于特定类别的条件连通性。

原创性/价值

本研究以多种方式扩展了现有文献。首先，作者使用了一种新颖的条件连通性方法，该方法尚未用于理清跨类别/跨国政策不确定性连通性。其次，他们使用不依赖于滚动窗口的 TVP-VAR 方法来理解动态连通性。第三，他们在分析中使用了更多的国家，这与大多数情况下使用两个国家来理解分类 EPU 连通性的现有研究不同。