Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework

International Review of Economics & Finance - Tập 78 - Trang 433-445 - 2022
Jianbai Huang1,2, Xuesong Dong1, Jinyu Chen1,2, Meirui Zhong1,2
1School of Business, Central South University, Changsha 410083, China
2Institute of Metal Resources Strategy, Central South University, Changsha 410083, China

Tài liệu tham khảo

Adjei, 2017, Economic policy uncertainty, market returns, and expected return predictability, Journal of Financial Economic Policy, 9, 242, 10.1108/JFEP-11-2016-0074 Antonakakis, 2015, Dynamic spillovers between commodity and currency markets, International Review of Financial Analysis, 41, 303, 10.1016/j.irfa.2015.01.016 Badshah, 2019, The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging, Energy Economics, 84, 104553, 10.1016/j.eneco.2019.104553 Baker, 2016, Measuring economic policy uncertainty, Quarterly Journal of Economics, 131, 1593, 10.1093/qje/qjw024 Balcilar, 2015, A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates, International Review of Economics & Finance, 40, 72, 10.1016/j.iref.2015.02.005 Baruník, 2016, Gold, oil, and stocks: Dynamic correlations, International Review of Economics & Finance, 42, 186, 10.1016/j.iref.2015.08.006 Behmiri, 2015, The role of outliers and oil price shocks on volatility of metal prices, Resources Policy, 46, 139, 10.1016/j.resourpol.2015.09.004 Bhar, 2011, Commodities and financial variables: Analyzing relationships in a changing regime environment, International Review of Economics & Finance, 20, 469, 10.1016/j.iref.2010.07.011 Białkowski, 2015, The gold price in times of crisis, International Review of Financial Analysis, 41, 329, 10.1016/j.irfa.2014.07.001 Bijsterbosch, 2015, The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?, Journal of International Money and Finance, 54, 93, 10.1016/j.jimonfin.2015.02.013 Bildirici, 2015, Nonlinear causality between oil and precious metals, Resources Policy, 46, 202, 10.1016/j.resourpol.2015.09.002 Bouoiyour, 2018, Measuring the response of gold prices to uncertainty: An analysis beyond the mean, Economic Modelling, 75, 105, 10.1016/j.econmod.2018.06.010 Bouri, 2017, Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices, Resources Policy, 52, 201, 10.1016/j.resourpol.2017.03.003 Chai, 2019, Dynamic response pattern of gold prices to economic policy uncertainty, Transactions of Nonferrous Metals Society of China, 29, 2667, 10.1016/S1003-6326(19)65173-3 Chen, 2019, Oil price shocks, economic policy uncertainty and industrial economic growth in China, PLoS One, 14, 1, 10.1371/journal.pone.0215397 Chen, 2019, The effects of different types of oil price shocks on industrial PPI: Evidence from 36 sub-industries in China, Emerging Markets Finance and Trade, 29, 1 Chen, 2020, The pass-through effects of oil price shocks on China's inflation: A time-varying analysis, Energy Economics, 86, 104695, 10.1016/j.eneco.2020.104695 Churchill, 2019, Dynamics of oil price, precious metal prices and the exchange rate in the long-run, Energy Economics, 84, 104508, 10.1016/j.eneco.2019.104508 Cogley, 2001, Evolving post-world war II U.S. Inflation dynamics, NBER Macroeconomics Annual, 16, 331, 10.1086/654451 Cogley, 2005, Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S, Review of Economic Dynamics, 8, 262, 10.1016/j.red.2004.10.009 Dimitriou, 2020, Are there any other safe haven assets? Evidence for “exotic” and alternative assets, International Review of Economics & Finance, 69, 614, 10.1016/j.iref.2020.07.002 Esmaeili, 2021, Dynamics analysis of factors affecting electricity consumption fluctuations based on economic conditions: Application of SVAR and TVP-VAR models, Energy, 226, 120340, 10.1016/j.energy.2021.120340 Feng, 2021, Time-varying impact of U.S. Financial conditions on China's inflation: A perspective of different types of events, Quantitative Finance and Economics, 5, 604, 10.3934/QFE.2021027 Gambetti, 2017, Loan supply chocks and the business cycle, Journal of Applied Econometrics, 32, 764, 10.1002/jae.2537 Gao, 2016, How does economic policy uncertainty drive gold–stock correlations? Evidence from the UK, Applied Economics, 48, 3081, 10.1080/00036846.2015.1133903 Gong, 2017, Forecasting the good and bad uncertainties of crude oil prices using a HAR framework, Energy Economics, 67, 315, 10.1016/j.eneco.2017.08.035 Gong, 2018, Time-varying effects of oil supply and demand shocks on China's macro-economy, Energy, 149, 424, 10.1016/j.energy.2018.02.035 Gulen, 2016, Policy uncertainty and corporate investment, Review of Financial Studies, 29, 523 Gupta, 2013, Does the source of oil price shocks matter for South African stock returns? A structural VAR approach, Energy Economics, 40, 825, 10.1016/j.eneco.2013.10.005 Hammoudeh, 2008, Metal volatility in presence of oil and interest rate shocks, Energy Economics, 30, 606, 10.1016/j.eneco.2007.09.004 Hartmann, 2004, Asset market linkages in crisis periods, The Review of Economics and Statistics, 86, 313, 10.1162/003465304323023831 He, 2020, Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect, International Review of Economics & Finance, 66, 131, 10.1016/j.iref.2019.11.004 Hu, 2020, Economics policy uncertainty, macroeconomic and asset price fluctuation: Based on TVAR model and spillover index, Chinese Journal of Management Science, 28, 61 Huynh, 2020, The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR, Resources Policy, 66, 101623, 10.1016/j.resourpol.2020.101623 Jain, 2013, Dynamics of global oil prices, exchange rate and precious metal prices in India, Resources Policy, 38, 88, 10.1016/j.resourpol.2012.10.001 Jebabli, 2014, On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility, Energy Economics, 45, 66, 10.1016/j.eneco.2014.06.008 Kang, 2017, Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations, Journal of International Money and Finance, 70, 344, 10.1016/j.jimonfin.2016.10.003 Kang, 2017, Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets, Energy Economics, 62, 19, 10.1016/j.eneco.2016.12.011 Kang, 2013, Oil shocks, policy uncertainty and stock market return, Journal of International Financial Markets, Institutions and Money, 26, 305, 10.1016/j.intfin.2013.07.001 Kang, 2017, Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production, Energy Economics, 66, 536, 10.1016/j.eneco.2017.01.027 Kim, 2017, Oil price shocks and China's economy: Reactions of the monetary policy to oil price shocks, Energy Economics, 62, 61, 10.1016/j.eneco.2016.12.007 Koop, 2009, On the evolution of the monetary policy transmission mechanism, Journal of Economic Dynamics and Control, 33, 997, 10.1016/j.jedc.2008.11.003 Lau, 2017, Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity, International Review of Financial Analysis, 52, 316, 10.1016/j.irfa.2017.04.001 Le, 2012, Oil price shocks and gold returns, International Economics, 131, 71, 10.1016/S2110-7017(13)60055-4 Lee, 2021, Chinese economic policy uncertainty and the cross-section of U. S. Asset returns, International Review of Economics & Finance, 76, 1063, 10.1016/j.iref.2021.08.011 Li, 2021, African swine fever and meat prices fluctuation: An empirical study in China based on TVP-VAR model, Journal of Integrative Agriculture, 20, 2289, 10.1016/S2095-3119(20)63307-X Li, 2014, Dynamics of spot precious metal price, crude oil price and RMB exchange rate, Finance and Trade Economics, 4, 48 Melvin, 2010, South African political unrest, oil prices, and the time varying risk premium in the gold futures market, Journal of Futures Markets, 10, 103, 10.1002/fut.3990100202 Mensi, 2015, Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia, Economic Modelling, 51, 340, 10.1016/j.econmod.2015.08.005 Nakajima, 2011, Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications, Monetary and Economic Studies, 11, 107 Nakajima, 2011, Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy, Journal of the Japanese and International Economies, 25, 225, 10.1016/j.jjie.2011.07.004 Narayan, 2010, Gold and oil futures markets: Are markets efficient?, Applied Energy, 87, 3299, 10.1016/j.apenergy.2010.03.020 O'Connor, 2015, The financial economics of gold—a survey, International Review of Financial Analysis, 41, 186, 10.1016/j.irfa.2015.07.005 Pástor, 2013, Political uncertainty and risk premia, Journal of Financial Economics, 110, 520, 10.1016/j.jfineco.2013.08.007 Pindyck, 1990, The excess co-movement of commodity prices, The Economic Journal, 100, 1173, 10.2307/2233966 Primiceri, 2005, Time varying structural vector autoregressions and monetary policy, The Review of Economic Studies, 72, 821, 10.1111/j.1467-937X.2005.00353.x Qin, 2021, Oil prices, policy uncertainty and travel and leisure stocks in China, Energy Economics, 96, 105112, 10.1016/j.eneco.2021.105112 Qin, 2020, Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions, Energy Economics, 90, 104851, 10.1016/j.eneco.2020.104851 Raza, 2018, Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach, Resources Policy, 57, 61, 10.1016/j.resourpol.2018.01.007 Reboredo, 2010, Nonlinear effects of oil shocks on stock returns: A Markov-switching approach, Applied Economics, 42, 3735, 10.1080/00036840802314606 Reboredo, 2013, Is gold a hedge or safe haven against oil price movements?, Resources Policy, 38, 130, 10.1016/j.resourpol.2013.02.003 Reboredo, 2016, Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach, International Review of Economics & Finance, 43, 284, 10.1016/j.iref.2015.10.043 Sari, 2010, Dynamics of oil price, precious metal prices, and exchange rate, Energy Economics, 32, 351, 10.1016/j.eneco.2009.08.010 Shafiee, 2010, An overview of global gold market and gold price forecasting, Resources Policy, 35, 178, 10.1016/j.resourpol.2010.05.004 Shahzad, 2019, Spillovers from oil to precious metals: Quantile approaches, Resources Policy, 61, 508, 10.1016/j.resourpol.2018.05.002 Shao, 2021, Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach, International Review of Economics & Finance, 73, 407, 10.1016/j.iref.2021.01.009 Sikiru, 2021, Hedging with financial innovations in the Asia-Pacific markets during the COVID-19 pandemic: The role of precious metals, Quantitative Finance and Economics, 5, 352, 10.3934/QFE.2021016 Sims, 1980, Macroeconomics and reality, Econometrica, 48, 1, 10.2307/1912017 Tang, 2012, Index investment and the financialization of commodities, Financial Analysts Journal, 68, 54, 10.2469/faj.v68.n6.5 Tiwari, 2015, Understanding the nexus between oil and gold, Resources Policy, 46, 85, 10.1016/j.resourpol.2015.09.003 Toparlı, 2019, The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach, Physica A: Statistical Mechanics and Its Applications, 535, 122392, 10.1016/j.physa.2019.122392 Uddin, 2018, Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach, Energy Economics, 73, 108, 10.1016/j.eneco.2018.05.024 Van, 2016, Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach, Economic Modelling, 54, 54, 10.1016/j.econmod.2015.12.013 Vigne, 2017, The financial economics of white precious metals—a survey, International Review of Financial Analysis, 52, 292, 10.1016/j.irfa.2017.04.006 Wen, 2019, Crude oil price shocks, monetary policy, and China's economy, International Journal of Finance & Economics, 24, 812, 10.1002/ijfe.1692 Wen, 2018, Interaction between oil and US dollar exchange rate: Nonlinear causality, time-varying influence and structural breaks in volatility, Applied Economics, 50, 319, 10.1080/00036846.2017.1321838 Wen, 2019, Retail investor attention and stock price crash risk: Evidence from China, International Review of Financial Analysis, 65, 101376, 10.1016/j.irfa.2019.101376 Wen, 2019, Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model, Physica A: Statistical Mechanics and Its Applications, 532, 121881, 10.1016/j.physa.2019.121881 Wen, 2019, Time-varying effects of international copper price shocks on China's producer price index, Resources Policy, 62, 507, 10.1016/j.resourpol.2018.10.006 Wu, 2019, Does gold or Bitcoin hedge economic policy uncertainty?, Finance Research Letters, 31, 171, 10.1016/j.frl.2019.04.001 Xiao, 2018, Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index, Energy Economics, 74, 777, 10.1016/j.eneco.2018.07.026 Yang, 2021, Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China Yin, 2015, Is gold a stable safe-haven asset? —based on the perspective of macroeconomic uncertainty, Studies of International Finance, 339, 87 You, 2017, Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression, Energy Economics, 68, 1, 10.1016/j.eneco.2017.09.007 Zhang, 2021, Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data, Resources Policy, 72, 102078, 10.1016/j.resourpol.2021.102078 Zhang, 2010, The crude oil market and the gold market: Evidence for cointegration, causality and price discovery, Resources Policy, 35, 168, 10.1016/j.resourpol.2010.05.003 Zhou, 2018, Is the relationship between gold and the US dollar always negative? The role of macroeconomic uncertainty, Applied Economics, 50, 354, 10.1080/00036846.2017.1313956 Zhou, 2019, Time-varying effect of the financialization of nonferrous metals markets on China's industrial sector, Resources Policy, 64, 101481, 10.1016/j.resourpol.2019.101481 Zhou, 2020, The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis[J], Resources Policy, 68, 101784, 10.1016/j.resourpol.2020.101784 Zhu, 2015, Dynamic interacting relationships among international oil prices, macroeconomic variables and precious metal prices, Transactions of Nonferrous Metals Society of China, 25, 669, 10.1016/S1003-6326(15)63651-2