Economic Policy Uncertainty Linkages among Asian Countries: Evidence from Threshold Cointegration Approach

This paper employs the threshold cointegration methodology to assess long- and short-run dynamics of asymmetric adjustment between economic policy uncertainty (EPU) China-India, China-Japan, China-Korea, India-Japan, India-Korea, Japan-Korea pairs using monthly EPU data ranging from January 1997 April 2020. The relationship is examined in terms Engle-Granger cointegrations. findings provide evidence long-run that adjustments towards equilibrium position are short run for China-India India-Japan M-TAR specification with nonzero values. Also, results suggest a unidirectional causal India-Korea long spectral frequency domain causality approach. However, bidirectional exists run. Therefore, some clues policymakers within Asian subregion possible synergies spillovers among countries.