Dynamic and frequency-domain spillover among within and cross-country policy uncertainty, crude oil and gold market: Evidence from US and China

The recent Sino-U.S. trade conflict has made the impact of economic policy uncertainty (EPU) between China and the US on the global market gradually become a hot topic. This paper uses a spillover directional measure to investigate the cross-category spillovers among crude oil and gold markets and policy uncertainties within and between China and the US during the period from 2000 to 2019. To obtain more reliable conclusions, this paper measures both the return and volatility spillover effects in two domains: time and frequency. The results of the empirical indicate that the US is a critical spillover transmitter on average compared with China. The spillover effects based on the time-domain framework show a strong connectedness among EPU and crude oil and gold markets. Moreover, during the intensification of financial turmoil, the interaction among EPU and crude oil and gold markets increased dramatically. With regard to frequency-domain analysis, many of the spillover effects of uncertainty occur in the short-term frequency of 1-3 months.