Multiple Spillovers of Economic Policy Uncertainty: A Transnational Analysis

we test the spillover effect of the economic policy uncertainty (EPU) involving 21 countries by using a general spatial autoregression model. We provide evidence that the result of the VAR model is too complex to derive common regularities even after Lasso dimensionality reduction, while the spatial model is helpful to taking into account more information for the improvement of predication. The dynamic evolution of the spillovers shows the spillover effect of geographic dependence is weakening in the long run, while the role of economic dependence becomes increasingly prominent with global economic integration. Furthermore, we find spillovers show breaks during crises and show asymmetry for higher EPU countries. Our research helps economic participants to enhance their expectations of EPU, which is of great significance in many aspects of economic activity.