Table 1.
Spillover indices between EPU and ERV.
Table 2.
Ranking of global systemically important markets.
Table 3.
Average spillover effects between EPU and ERV in developed and developing countries.
Fig 1.
Time-varying characteristics of the total spillover of the network of global EPU and ERV.
(i) This figure plots the total spillover between global EPU and ERV for a 60-month rolling window. (ii) Since we use a rolling window of 60 months and our sample starts in 1997, the starting year of this figure is 2002.
Fig 2.
Time-varying characteristics of intra/inter-sector spillovers of global EPU and ERV.
(i) This figure plots the intra/inter-sector spillovers of global EPU and ERV for a 60-month rolling window. (ii) Since we use a rolling window of 60 months and our sample starts in 1997, the starting year of this figure is 2002.
Fig 3.
Cross-market spillover network between EPU and ERV in different periods.
(i) X.EPU represents the EPU of country X, and X.ERV represents the exchange rate volatility of country X. (ii) The figure shows the top 10% quantile of the cross-market spillover relationships between EPU and ERV, where the green line represents the spillover of ERV on EPU, and the red line represents the spillover of EPU on ERV. (iii) The arrow represents the direction of the spillover; the thickness of the line represents the intensity of the spillover. (iv) (a), (b), (c) and (d) correspond to February 2003, March 2009, August 2015 and May 2020, respectively.