policy categories are strong net transmitters of uncertainty spillovers (e.g. fiscal policy), while others show only a low … further reveals that the intensity and direction of spillovers change significantly over time. The total connectedness index …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … volatility index are typically more affected by EPU spillovers than the US VXO. Our results also reveal that, compared to within …-country spillovers, cross-country spillovers of EPU are relatively small and less volatile. Finally, we show that the direction of net …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … volatility index are typically more affected by EPU spillovers than the US VXO. Our results also reveal that, compared to within …-country spillovers, cross-country spillovers of EPU are relatively small and less volatile. Finally, we show that the direction of net …

In this study we examine dynamic macroeconomic spillovers in the United States, with a particular focus on the stock … uctuations in the United States. Second, spillovers show large variations over time. Third, in the wake of the global financial … crisis, spillovers have been exceptionally high in historical perspective. In particular, we find large spillovers from EPU …