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Information Flow Analysis between EPU and Other Financial Time Series
1School of Economics and Commerce, South China University of Technology, Guangzhou 510006, China.
Entropy (Basel, Switzerland)
|December 8, 2020
Summary
US economic policy significantly impacts China-US trade, with China adjusting passively. Since 2016, China's economic policy has driven exchange rate fluctuations, influencing US policy.
Area of Science:
- Economics
- Econometrics
- International Trade
Background:
- Economic policy uncertainty (EPU) influences global markets.
- Understanding information flow between economic policies, trade, and exchange rates is crucial.
Purpose of the Study:
- To investigate the dynamic information flow among EPU, China-US trade, and the CNY/US exchange rate.
- To introduce and validate the effective transfer entropy (ETE) method for analyzing complex economic systems.
Main Methods:
- Utilized effective transfer entropy (ETE) with a sliding window methodology.
- Validated ETE against linear transfer entropy (TE) and Granger causality methods.
- Analyzed data from 2016 onwards to capture recent trends.
Main Results:
- US economic policy is a substantial driver of China-US bilateral trade since 2016.
- China's economic policy significantly influences the CNY/US exchange rate since 2016.
- Exchange rate fluctuations, driven by China's policy, subsequently affect US economic policy.
Conclusions:
- The study highlights the asymmetric and dynamic nature of information flow in the China-US economic relationship.
- ETE is a robust method for quantifying information transfer in economic systems.
- Findings underscore the interconnectedness of economic policies, trade volumes, and currency values.
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