Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression

Zhu, Huiming; Huang, Rui; Wang, Ke; Hau, Liya

doi:10.1080/00036846.2019.1688243

Cited by 60 publications

(24 citation statements)

References 41 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…For instance, using linear and nonlinear Granger causality test shows evidence of causal relationship between EPU, oil, and currency market after the gold financial crisis ( Albulescu et al, 2019 ). Findings indicate EPU has significant positive effect on metal future returns during bullish market but has significant negative effect on agriculture future returns during bearish market ( Zhu et al, 2020 ). Similarly, movement in commodity prices is reported to predict EPU ( Wang et al, 2015 ).…”

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

View full text Add to dashboard Cite

This paper investigates the switching effect of COVID-19 pandemic and economic policy uncertainty on commodity prices. We employ Markov regime-switching dynamic model to explore price regime dynamics of eight widely traded commodities namely oil, natural gas, corn, soybeans, silver, gold, copper, and steel. We fit two Markov switching regimes to allow parameters to respond to both low and high volatilities. The empirical evidence shows oil, natural gas, corn, soybean, silver, gold, copper, and steel returns adjust to shocks in COVID-19 outcomes and economic policy uncertainty at varying degrees––in both low volatility and high volatility regimes. In contrast, oil and natural gas do not respond to changes in COVID-19 deaths in both regimes. The findings show most commodities are responsive to historical price in terms of demand and supply in both volatility regimes. Our findings further show a high probability that commodity prices will remain in low volatility regime than in high volatility regime––owing to COVID-19-attributed market uncertainties. These findings are useful to both investors and policymakers––as precious metals and agricultural commodities show less negative response to exogenous variables. Thus, investors and portfolio managers could use precious metals, viz. Gold for short-term cover against systematic risks in the market during the period of global pandemic.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

View full text Add to dashboard Cite

show abstract

“…Badshah et al (2019) find a significant positive effect of EPU on stock-commodity correlations with particularly strong effects in the case of energy and industrial metals. Similarly, Zhu et al (2020) investigate the asymmetric effect of EPU on China's agriculture and metal futures returns using the panel quantile regression approach. They conclude that the domestic EPU shocks have a significant negative effect on agricultural futures returns in bearish markets and a significant positive effect on metal futures returns in bullish markets.…”

Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

2021

View full text Add to dashboard Cite

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main commodity markets, namely energy, fats and oils, beverages, grains, other foods, raw materials, industrial meals, and precious metals. The sample covers the period from January 1960 to June 2020. The estimated commodity price uncertainties are proven to be leading indicators of uncertainty rather than volatility in commodity markets. In addition, the time-varying connectedness analysis indicates that the macroeconomic uncertainty has persistent spillover effects on the commodity uncertainty, especially during the recent COVID-19 pandemic period. It has also found that the energy uncertainty shocks are the main drivers of connectedness among commodity markets, and that fats and oils uncertainty is the influence driver of uncertainty spillovers among agriculture commodities. The achieved results are of important significance to policymakers, firms, and investors to build accurate forecasts of commodity price uncertainties.

show abstract

“…They find that for crude oil and heating oil, the economic risks (financial risks) are significantly positive (negative) in the lower quantiles, but the effects turn significantly negative (positive) in the upper quantiles of the commodity returns. On similar lines, Zhu et al (2020) demonstrate that the economic policy uncertainty of both domestic and other countries can affect crude oil prices. They study the effect of economic policy uncertainty on China's commodity futures (metal and agricultural) using the panel quantile regression approach.…”

Section: Scholarly Work Related To Effect Of Uncertainty On the Oil And Gas Sectormentioning

confidence: 75%

Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence

Sinha¹,

Sharif

Adhikari

et al. 2022

Ann Oper Res

View full text Add to dashboard Cite

Given the developing nations are moving towards attaining the sustainable energy future, the reliance on renewable energy solutions is rising. Therefore, the dependence on traditional fossil fuel-based solutions is getting reduced, and this might have an impact on the energy market commodities. Analyzing this impact might divulge several insights regarding the portfolio decisions, in presence of the transformations in developmental trajectory. In this study, we analyze the cross-quantile dependence of the returns on the energy market commodities and the market returns for Indian financial market over July 31, 2008 to March 31, 2020. For this purpose, we adopt a novel three-stage methodology comprising Dynamic Conditional Correlation GARCH, Cross-quantilogram, and Wavelet Coherence-based models. We find that the market returns have negative effect on returns on the energy market commodities. This impact has been found to be asymmetric in nature. Moreover, the moderating impact of policy uncertainty has been analyzed has been analyzed through partial cross-quantilogram approach, and the outcome shows that the impact remains same under extreme market conditions. The findings have significant portfolio decisions in an energy transition context.

show abstract

Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression

Cited by 60 publications

References 41 publications

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties

Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence

Contact Info

Product

Resources

About