One shock, two speeds: risk spillovers to Chinese sectoral equities under the China–us monetary policy split

Since 2022 the monetary policy stances of China and the United States have diverged, yet how the associated policy risk travels across borders and sectors remains insufficiently understood. We adopt a TVP-QVAR connectedness framework with frequency-domain decomposition, complemented by event-window analysis, to examine risk spillovers among Chinese and US monetary policy uncertainty (MPU), gold, and five Chinese sector equity indices. The results show that although system-wide total connectedness declines after 2022, the bilateral linkage between Chinese and US MPU strengthens, indicating that policy divergence has not been accompanied by a separation of policy-risk linkages. The net spillover from US MPU concentrates mainly at short horizons, whereas that from Chinese MPU is expressed more at medium-to-long horizons. The risk network is state-dependent, with gold’s net role switching as the conditional quantile shifts. Sectoral adjustment is likewise heterogeneous: utilities move from net transmitter to net receiver, while electronic components change little. Event windows further show that connectedness changes differ markedly across policy events, and that local changes around individual events do not fully coincide with longer-horizon structural adjustment.