Abstract: Concerns about economic policy uncertainty have risen after global financial crisis, the FRB and IMF suggest that the economic policy uncertainty hindered the recovery of the U.S as well as the world economy. The economic policy uncertainty(EPU) index which was developed by Baker et al. shows that the economic policy uncertainty is unusually high in recent years in China, so it is important to identify the impacts of economic policy uncertainty and the mechanism. Based on the TVAR model and Spillover index, EPU index is adopted, empirically examines the nonlinear effects of China's economic policy uncertainty on output and asset prices, as well as the spillover effects of macroeconomic variables through 1997M01 to 2017M09. The results show that:(1) The impact of economic policy uncertainty is asymmetric. When economic policy uncertainty is high, one positive impact of standard deviation caused a decline of output in 0.21% (accumulated), house prices and stock market volatility increased, but when economic policy uncertainty is low, the impacts were much more weaker. (2) Spillover index shows that there is a net spillover of output, house prices and stock market due to economic policy uncertainty. In the period of high economic policy uncertainty, the overall spillover index exceeds 50%, and the linkage between variables is strong. The results of this research have important implications for policy makers.

Key words: economic policy uncertainty, TVAR model, asymmetric effects, spillover effect