The spillover of macroeconomic uncertainty between the U.S. and China

We investigate the spillover of macroeconomic uncertainty between the U.S. and China since 2002. Following Jurado et al. (2015), we construct a monthly aggregate macroeconomic uncertainty index for China from 224 economic variables. The structural vector autoregression model suggests a unidirectional spillover of macroeconomic uncertainty from the U.S. to China. Both U.S. and Chinese uncertainty have negative effects on China's real economy, but the impact of U.S. uncertainty is greater.