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International Monetary Policy Uncertainty Spillover

In this paper, we examine the spillover effect of US monetary policy uncertainty (MPU) on China's real economic activities, and study the international transmission mechanisms of MPU shock from the view of financial integration, on both aggregate and firm level. Based on the macro level evidences, we find that an increase in US MPU will depress not only domestic output but also the real economic activities in China. The international spillover effect of US MPU shock will be intensified when international financial markets get more integrated. The firm level evidence based on Chinese listed firms further corroborate the deflationary effect of US MPU shock. Theoretically, we build a two-country New Keynesian DSGE model featuring monetary uncertainty shock to confirm the empirical evidences.