Spillover effects of economic policy uncertainty among the US and BRIC countries: based on time and frequency domain perspectives

This study examines the static and dynamic spillover effects of economic policy uncertainty (EPU) among US and BRIC countries. We investigate their connectedness both in the time and frequency domains using the spillover index approach and frequency domain decomposition methods. Our results indicate that the countries have significant time-varying characteristic spillover effects, and most of EPU connectedness is generated in the short-term. Furthermore, US domestic emergencies will bring about a sharp increase in spillover indices; in most cases, the US is the major transmitter and receiver of uncertainty spillover while Russia delivers and receives the lowest spillover. These results have implications for policymakers and investors with different time horizons.