This study aims to examine the spillover effects of trans-Atlantic macroeconomic uncertainties on the local stock market returns in the USA and eight selected European countries, namely, Germany, France, Spain, Italy, Greece, Ireland, Sweden and the UK, during the 2000-2019 period.,This paper applies the dynamic conditional correlation multivariate GARCH model (i.e. multivariate generalized autoregressive conditional heteroskedasticity model or DCC MGARCH) to examine the potential existence of the spillover from the uncertainty of the USA to EU stock markets and vice versa. To capture different dynamic relationships between multiple time-series variables following different regimes, this paper applies the Markov switching model to the stock returns of both the USA and the eight major stock markets.,The increases in US uncertainty have significant negative impacts on all EU stock returns, whereas only the increases in the uncertainties of Spain, Ireland, Sweden and the UK have significant negative impacts on US stock returns. Notably, the economic policy uncertainty (EPU) in the USA has a dynamic effect on the European stock markets. In a bear market (State 1), the increases in the EPU of the USA and EU have significant negative impacts on EU stock returns in most cases. However, only the increase in US EPU has significant negative impacts on EU stock returns in bull markets (State 2). Reciprocally, the increases in the EU EPUs of Germany, Spain and the UK have significant impacts on US stock returns in bear market.,The observations challenge the conventional wisdom according to which only larger economies can lead the smaller counterparts. The findings also highlight the stronger dependence of the US stock market on international macroeconomic uncertainty.

中文翻译：

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经济政策不确定性对金融市场的溢出效应：时变分析

这项研究旨在检验跨大西洋宏观经济不确定性对美国和八个选定的欧洲国家（即德国，法国，西班牙，意大利，希腊，爱尔兰，瑞典和英国）在此期间的本地股票市场收益的溢出效应。在2000年至2019年期间，本文应用动态条件相关多元GARCH模型（即多元广义自回归条件异方差模型或DCC MGARCH）来研究从美国不确定性向欧盟股票市场反之亦然的溢出潜力。为了捕获遵循不同制度的多个时间序列变量之间的不同动态关系，本文将马尔可夫切换模型应用于美国和八个主要股市的股票收益。美国不确定性的增加对所有欧盟股票收益均具有重大负面影响，而西班牙，爱尔兰，瑞典和英国的不确定性仅对美国股票收益具有重大负面影响。值得注意的是，美国的经济政策不确定性（EPU）对欧洲股票市场产生了动态影响。在熊市（状态1）中，在大多数情况下，美国和欧盟的EPU的增加对欧盟的股票收益具有重大的负面影响。但是，只有美国EPU的增加才对牛市中的欧盟股票收益产生重大负面影响（状态2）。相应地，德国，西班牙和英国的欧盟EPU的增加对熊市中的美国股票收益产生重大影响。该观察结果挑战了传统观点，即只有较大的经济体才能领先较小的经济体。