Cross-country categorical economic policy uncertainty spillovers: evidence from a conditional connectedness TVP-VAR framework

Purpose This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal (FPU) and monetary (MPU) in four nations, USA, Japan, Greece South Korea, between 1998 2021. Design/methodology/approach To comprehend cross-category/cross-country evolution connectedness, authors use conditional connectedness approach. By using an inclusive network, this strategy lessens bias caused by omitted variables. The TVP-VAR method is advantageous as it eliminates outliers that may potentially skew results reduces picking arbitrary rolling windows. Findings Based on findings, aggregate EPU a net transmitter uncertainties across all countries when conditional-country used. MPU receives significantly more spillovers than FPU does countries, even though both are primarily recipients uncertainties. USA appears be categorical before COVID-19, while receiver category terms category-specific connectedness. existence extreme global events also seen cause increase country-specific Additionally, report greater Originality/value expands existing literature several ways. Firstly, novel approach, which has not been used untangle Secondly, they approach depend windows understand Thirdly, expanded number their analysis, departure from studies have most cases two