LAUSR

Abstract This study explores the effect of global economic policy uncertainty (EPU) shocks on China's financial conditions index (CFCI) and analyzes the sources of uncertainty shocks. The results of the spillover index showed that the spillover effects of global EPU on CFCI were concentrated in the crisis periods, but mostly insignificant effect in the normal periods. The uncertainty shocks emanating from China itself were the major sources of China's financial markets volatility and the US EPU appeared to be the most significant exogenous cause of the fall of CFCI. The source of long-term uncertainty shocks changed over time.