Economic Policy Uncertainty Shocks and Chinese Stock Market Volatility: An Empirical Analysis with SVAR

Figure 13

Impulse response of stock market volatility to EPU shocks. Notes: for robustness, we also estimate the SVAR models with lag order 2, inspired by the research of Huang and Luk [1]. The solid black lines represent the median impulse response. The light-colored region represents 68% of error bands. Each period is a month.

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