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A Multifractal Cross-Correlation Analysis of Economic Policy Uncertainty: Evidence from China and US
Fluctuation and Noise Letters ( IF 1.2 ) Pub Date : 2021-01-27 , DOI: 10.1142/s0219477521500413 Ruwei Zhao 1 , Peng-Fei Dai 2
Fluctuation and Noise Letters ( IF 1.2 ) Pub Date : 2021-01-27 , DOI: 10.1142/s0219477521500413 Ruwei Zhao 1 , Peng-Fei Dai 2
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In this study, we utilized the prevailing economic policy uncertainty index (EPU) as the proxy of state economic fluctuation and investigated Sino–US economic fluctuation long horizon cross-correlation with a multifractal detrended cross-correlation analysis (MF-DCCA). With the MF-DCCA approach, we found a reliable long-range cross-correlation between China and US EPU changes. In addition, we discovered that a power law cross-correlation existed for the variation of most scaling orders. However, no persistence of cross-correlations was detected within the Sino–US EPU change series. Additionally, we implemented Rényi exponent and spectrum singularity checks. Both the examination results proved series multifractality with the presented arch-shaped curves. We further calculated the Hölder exponent bounds within each series and found that the China EPU changes had maximal multifractality with the largest exponent difference.
更新日期：2021-01-27
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