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The Effect of Economic Policy Uncertainty on Inter-Industry Risk Spillover : Evidence from Quantile-on-Quantile Analysis

Ren, Yinghua; Wei, Tian; Zhao, Wanru; Tan, Anqi - 2023

The study examines the effect of economic policy uncertainty (EPU) on nonlinear risk spillover across 24 Chinese industry sectors over the period 2008-2022. We employ tail-event driven network method to measure nonlinear risk spillover of inter-industry and quantile-on-quantile regression to...

Persistent link: https://www.econbiz.de/10014264285

Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?

Ren, Ying-hua; Tan, Anqi; Zhu, Huiming; Zhao, Wanru - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013375403

Time-frequency effect of investor sentiment, economic policy uncertainty, and crude oil on international stock markets : evidence from wavelet quantile analysis

Zhu, Huiming; Wu, Hao; Ren, Ying-hua; Yu, Dongwei - In: Applied economics 54 (2022) 53, pp. 6116-6146

Persistent link: https://www.econbiz.de/10013411351

The effects of economic policy uncertainty on China's economy : evidence from time-varying parameter FAVAR

Ren, Ying-hua; Guo, Qing; Zhu, Huiming; Ying, Wanming - In: Applied economics 52 (2020) 29, pp. 3167-3185

Persistent link: https://www.econbiz.de/10012258825

Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock : evidence from multiscale quantile perspectives

Zhu, Huiming; Chen, Yiwen; Ren, Ying-hua; Xing, Zhanming; … - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-46

Persistent link: https://www.econbiz.de/10013449362