SPILLOVER EFFECTS BETWEEN POLICY UNCERTAINTY, ECONOMY AND FINANCIAL SYSTEM IN CHINA AND THE UNITED STATES: A MIXED-FREQUENCY CONNECTEDNESS APPROACH

This study investigates the risk spillovers of economic policy uncertainty (EPU) across macroeconomic and financial systems in China and the United States using mixed-frequency data. Employing a mixed-frequency connectedness approach, the analysis integrates monthly macroeconomic indicators with weekly financial variables to more accurately capture cross-country transmission mechanisms. In China, domestic EPU mainly affects the macroeconomic sector, whereas in the United States, domestic EPU primarily affects the financial system. Both countries experienced sharply intensified spillovers during the COVID-19 pandemic. These findings highlight the heterogeneity of the effects of policy uncertainty across national systems and underscore the importance of mixed-frequency analysis in developing targeted macroprudential policies.