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