Abstract: As the world's second largest and Asia's largest economy, China plays an ever more important role in global affairs. The effects of its policy fluctuation over other countries are increasingly significant. In this paper, based on Economic Policy Uncertainty index of China, the USA, Japan and the UK from January 1995 to July 2017, a DCC-GARCH model is built which can effectively catch the dynamic correlation between different time series to analyze spillovers effects between China and the USA, the UK and Japan. The EPU index was developed by Baker, Bloom and Davis in 2016. The EPU data of sample countries shows the characteristics of spikes, fat tail and asymmetrical which means skewed multiple t distribution is favored. Through the empirical analysis, it is found that China has positive spillovers effects upon others. Further analysis shows the dynamic correlation of China-US is great than China-UK's or China-Japan's. The trends are more similar between China-US's and China-UK's than China-Japan's.Influenced by geopolitical relations, the trend of China-Japan's correlation is different from those of China-US's or China-UK's.It is the first time to analysis the dynamic correlations between China and other countries using the EPU index to measure spillover effects of economic policy uncertainty. Reference for other studies on policy related uncertainty can be provided in this paper.

Key words: Economic policy uncertainty, EPU index, dynamic correlation, DCC-GARCH