Symmetric and asymmetric impact of economic policy uncertainty on food prices in China: A new evidence

Wen, Jun; Khalid, Samia; Mahmood, Hamid; Zakaria, Muhammad

doi:10.1016/j.resourpol.2021.102247

Cited by 36 publications

(31 citation statements)

References 45 publications

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“…Throughout the sample period, the Chinese stock market was clearly a net recipient of volatility shocks in the net pairwise spillover portfolios of the major commodities futures markets. This paper found similar results to those found by Wen et al (2021). This paper identi-fies some notable spikes that are closely associated with market turbulence, such as the Chinese stock market meltdown in 2015, the US-China trade war in 2018 (especially for agricultural futures markets), and the COVID-19 pandemic in 2020.…”

Section: Notesupporting

confidence: 81%

“…This paper goes on to explain the possible reasons for the results, China's current demand for copper is increasing, and in addition, non-ferrous metal futures, such as copper futures, are now developing very rapidly, with many domestic copper spot companies in China participating in hedging in the commodities market. Therefore, the copper market is increased transmission effects and linkages to the Chinese stock market (Wen et al, 2021). According to Su et al (2021), the crude oil market also has a greater impact on the Chinese stock market in the aftermath of the epidemic, due to China's status as the largest importer of crude oil.…”

Section: Discussionmentioning

confidence: 99%

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High-frequency volatility connectedness and time-frequency correlation among Chinese stock and major commodity markets around COVID-19

Zeng

Lu²

2022

Investment Management and Financial Innovations

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This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross-wavelet transform to examine the transmission of risk patterns in these markets before and during the COVID-19 outbreak, as well as the leading lag relationship and synergistic movements between different time domains. First, the findings of the DCC-GARCH connectedness model show dynamic total spillovers are stronger after the COVID-19 outbreak. Chinese stocks and corn have been net spillovers in the system throughout the sample period, but the Chinese market plays the role of a net receiver of volatility relative to other markets (net pairwise directional connectedness) in the system as a whole. In terms of wavelet results, there is some connection to the connectedness results, with all commodity markets, except soybeans and wheat, showing significant dependence on Chinese equities in the medium/long term following the COVID-19 outbreak. Secondly, the medium-to long-term frequency of the crude oil market and copper market are highly dependent on the Chinese stock market, especially after the COVID-19 outbreak. Meanwhile, the copper market is the main source of risk for the Chinese stock market, while the wheat market sends the least shocks to the Chinese stock market. The findings of this paper will have a direct impact on a number of important decisions made by investors and policymakers.

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Section: Notesupporting

confidence: 81%

Section: Discussionmentioning

confidence: 99%

High-frequency volatility connectedness and time-frequency correlation among Chinese stock and major commodity markets around COVID-19

Zeng

Lu²

2022

Investment Management and Financial Innovations

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“…Thereafter, studies have examined the nexus between uncertainty measures and the macroeconomy with a general consensus that heightened uncertainty adversely impacts the economy (Stock and Watson 2012 ; Pastor and Verones 2012 ; Bloom 2014 ; Antonakakis et al 2014 ; Baker et al 2016 ; Leduc and Liu 2020 ; Caldara et al 2022 ). Other recent studies have examined the linkages between policy uncertainty and other macroeconomic indicators such as food, stock and precious metal prices (Wen et al 2021 ; Batabyl and Kilian 2021 ; Yilanci and Kilci 2021 ), corporate risks (Zhang et al 2021 ), renewable energy, and carbon emissions (Khan and Su 2022 ; Li et al 2022 ). Al-Thaqeb and Algharabah ( 2019 ) provided a detailed review of EPU, concluding that policy uncertainty has a non-negligible impact on investment decisions and consumer spending, with significant local and global spillover effects.…”

Section: Literature Reviewmentioning

confidence: 99%

Uncertainty measures and inflation dynamics in selected global players: a wavelet approach

Adeosun

Tabash

et al. 2022

Qual Quant

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This study investigates the dynamic relationship between economic policy uncertainty (EPU), geopolitical risks (GPR), the interaction of EPU and GPR (EPGR), and inflation in the USA, Canada, the UK, Japan, and China. We employ the continuous wavelet transform (CWT) to track the evolution of model variables and the wavelet coherence (WC) to examine the co-movement and lead-lag status of the series across different frequencies and time. To strengthen the WC, we apply the multiple wavelet coherence (MWC) to determine how good the linear combination of independent variables co-moves with inflation across various time-frequency domains. The CWT reveals heterogeneous characteristics in the evolution of each variable across frequencies. Inflation across samples shows strong variance in the short-term and medium-term while the volatility fizzles out in the long-term. For the explanatory variables, a similar pattern holds for EPU except for Japan and China, where coherence is evident in the short-term. The USA’s and Canada’s GPR reveal strong coherence in the short- and medium-term. Also, the UK and China reflect strong coherence in the short-term but weak significance in the medium-term, while Japan’s GPR reflects only strong coherence in the short-term. The EPGR shows strong variation in the short-and-medium-term in the samples except in China. The WC’s phase-difference reflects bidirectional causalities and switches in signs among series across different scales and periods in the samples, while the MWC reveals the combined intensity, strength, and significance of both EPU and GPR in predicting inflation across frequency bands among the countries. Findings also show significant co-movement among series at date-stamped periods, corroborating critical global events such as the Asian financial crisis, Global financial crisis, and COVID-19 pandemic. The paper has policy implications.

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“…However, farmers face many hardships such as minimum productivity from labor, low profits, financial constraints and environmental problems, causing a decline in agricultural production (Amanullah, Lakhan, Channa, Magsi, Koondher, Wang et al, 2020;Mishra, Singh & Rana, 2022). The scarcity of food materials is due to farm areas and disruptions in the distribution of products from the source to consumers because of the speculators who control prices and supply (Wen, Khalid, Mahmood & Zakaria, 2021).…”

Section: Introductionmentioning

confidence: 99%

The development of a conceptual rural logistics system model to improve products distribution in Indonesia

Sinaga

Hidayat

Wangsaputra

et al. 2022

JIEM

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Purpose: The role of speculators in distributing products across rural areas is increasing the poverty rate in Indonesia. Therefore, this study aims to develop a conceptual framework of the rural logistics system model to influence the welfare and sustainability of farmers.Design/methodology/approach: Conceptual framework was used to evaluate logistics and supply chain networks. The method consists of developing stages based on four components, namely network structure, management, resources, and business processes. Furthermore, it also proposed the management function of the rural logistics system models.Findings: The model of a rural logistics system obtained in this study consists of 1) a trade related to the network of business, 2) a freight, related to the flow of goods, and 3) management functions related to crucial activities in rural logistics management.Research limitations/implications: This model is conceptual, therefore, future studies must accommodate optimizing models to predict the performance of rural logistics systems when they are applied in Indonesia.Practical implications: This study promotes the actors in intermediaries of the rural logistics system to synergize the distribution of goods effectively and efficiently. It also reduces the role of speculators in product distribution in form of availability and price in rural areas.Social implications: This model is a strategy to achieve the Rural Sustainable development Goals (Rural-SDGs) agenda and complements the Blueprint of The National Logistics System.Originality/value: There are fewer studies in rural logistics compared to other fields such as agricultural logistics, food logistics, disaster logistics, etc. Therefore, this study organizes the actors in the rural logistics network and plans management functions for the efficient distribution of products across Indonesia. It also raises the awareness of logistics management to improve the welfare of rural communities.

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Symmetric and asymmetric impact of economic policy uncertainty on food prices in China: A new evidence

Cited by 36 publications

References 45 publications

High-frequency volatility connectedness and time-frequency correlation among Chinese stock and major commodity markets around COVID-19

High-frequency volatility connectedness and time-frequency correlation among Chinese stock and major commodity markets around COVID-19

Uncertainty measures and inflation dynamics in selected global players: a wavelet approach

The development of a conceptual rural logistics system model to improve products distribution in Indonesia

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