Economic uncertainty shocks and China's commodity futures returns: A time-varying perspective

Resources Policy - Tập 70 - Trang 101979 - 2021
Yongjian Lyu1, Heling Yi2, Yingyi Hu3, Mo Yang4
1School of Finance, Southwestern University of Finance and Economics, China
2School of Economic Mathematics, Southwestern University of Finance and Economics, China
3Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, China
4School of Finance, Dongbei University of Finance and Economics, China

Tài liệu tham khảo

Alfaro, 2018, The finance uncertainty multiplier Angelini, 2018, Uncertainty across volatility regimes, Journal of Applied Econometrics, 34, 437, 10.1002/jae.2672 Aloui, 2016, Uncertainty and crude oil returns, Energy Econ., 55, 92, 10.1016/j.eneco.2016.01.012 Antonakakis, 2014, Dynamic spillovers of oil price shocks and economic policy uncertainty, Energy Econ., 44, 433, 10.1016/j.eneco.2014.05.007 Anzuini, 2013, The impact of monetary policy shocks on commodity prices, Int. J. Central Bank, 9, 119 Arellano, 2019, Financial frictions and fluctuations in volatility, J. Polit. Econ., 127, 2049, 10.1086/701792 Bachmann, 2013, 'Wait-and-See' business cycles?, J. Monetary Econ., 60, 704, 10.1016/j.jmoneco.2013.05.005 Bakas, 2018, The impact of uncertainty shocks on the volatility of commodity prices, J. Int. Money Finance, 87, 96, 10.1016/j.jimonfin.2018.06.001 Baker, 2016, Measuring economic policy uncertainty, Q. J. Econ., 131, 1593, 10.1093/qje/qjw024 Basu, 2017, Uncertainty shocks in a model of effective demand, Econometrica, 85, 937, 10.3982/ECTA13960 Baumeister, 2014, What central bankers need to know about forecasting oil prices?, Int. Econ. Rev., 55, 869, 10.1111/iere.12074 Baumeister, 2013, The role of time-varying price elasticities in accounting for volatility changes in the crude oil market, J. Appl. Econom., 28, 1087, 10.1002/jae.2283 Benati, 2008, Evolving US monetary policy and the decline of inflation predictability, J. Eur. Econ. Assoc., 6, 634, 10.1162/JEEA.2008.6.2-3.634 Bloom, 2009, The impact of uncertainty shocks, Econometrica, 77, 623, 10.3982/ECTA6248 Carriere-Swallow, 2013, The impact of uncertainty shocks in emerging economies, J. Int. Econ., 90, 316, 10.1016/j.jinteco.2013.03.003 Chen, 2015, Global oil prices, macroeconomic fundamentals and China's commodity sector comovements, Energy Pol., 87, 284, 10.1016/j.enpol.2015.09.024 Chen, 2018, The nexus of monetary policy and shadow banking in China, Am. Econ. Rev., 108, 3891, 10.1257/aer.20170133 Cheng, 2015, Convective risk flows in commodity futures markets, Rev. Finance, 19, 1733, 10.1093/rof/rfu043 Del Negro, 2015, Time varying structural vector autoregressions and monetary policy: a corrigendum, Rev. Econ. Stud., 82, 1342, 10.1093/restud/rdv024 Duca, 2018, What drives economic policy uncertainty in the long and short runs: European and US evidence over several decades, J. Macroecon., 55, 128, 10.1016/j.jmacro.2017.09.002 Frankel, 2014, Effects of speculation and interest rates in a "carry trade" model of commodity prices, J. Int. Money Finance, 42, 88, 10.1016/j.jimonfin.2013.08.006 Fontaine, 2018, Chinese policy uncertainty shocks and the world macroeconomy: evidence from STVAR, China Econ. Rev., 51, 1, 10.1016/j.chieco.2018.04.008 Fung, 2013, A leader of the world commodity futures markets in the making? The case of China's commodity futures, Int. Rev. Financ. Anal., 27, 103, 10.1016/j.irfa.2013.01.001 Hammoudeh, 2015, US monetary policy and sectoral commodity prices, J. Int. Money Finance, 57, 61, 10.1016/j.jimonfin.2015.06.003 Hernandez, 2014, How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets, Eur. Rev. Agric. Econ., 41, 301, 10.1093/erae/jbt020 Huang, 2018, The effect of economic policy uncertainty on China’s housing market, North Am. J. Econ. Fin., 54, 100850, 10.1016/j.najef.2018.09.008 Huang, 2020, Measuring economic policy uncertainty in China, China Econ. Rev., 59, 101367, 10.1016/j.chieco.2019.101367 Ji, 2018, Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach, Energy Econ., 76, 115, 10.1016/j.eneco.2018.10.010 Jia, 2016, Correlation between agricultural markets in dynamic perspective-Evidence from China and the US futures markets, Phys. Stat. Mech. Appl., 464, 83, 10.1016/j.physa.2016.07.048 Joëts, 2017, Does the volatility of commodity prices reflect macroeconomic uncertainty?, Energy Econ., 68, 313, 10.1016/j.eneco.2017.09.017 Kang, 2017, Oil price shocks and policy uncertainty: new evidence on the effects of US and non-US oil production, Energy Econ., 66, 536, 10.1016/j.eneco.2017.01.027 Kelly, 2016, The price of political uncertainty: theory and evidence from the option market, J. Finance, 71, 2417, 10.1111/jofi.12406 Klotz, 2014, Global commodity prices, economic activity and monetary policy: the relevance of China, Resour. Pol., 42, 1, 10.1016/j.resourpol.2014.08.001 Koop, 2009, Bayesian multivariate time series methods for empirical macroeconomics, Found. Trends Econometr., 3, 267, 10.1561/0800000013 Kurov, 2018, Monetary policy uncertainty and the market reaction to macroeconomic news, J. Bank. Finance, 86, 127, 10.1016/j.jbankfin.2017.09.005 Leduc, 2016, Uncertainty shocks are aggregate demand shocks, J. Monetary Econ., 82, 20, 10.1016/j.jmoneco.2016.07.002 Li, 2016, The causal relationship between economic policy uncertainty and stock returns in China and India: evidence from a bootstrap rolling window approach, Emerg. Mark. Finance Trade, 52, 674, 10.1080/1540496X.2014.998564 Liu, 2011, Information transmission in informationally linked markets: evidence from US and Chinese commodity futures markets, J. Int. Money Finance, 30, 778, 10.1016/j.jimonfin.2011.05.006 Liu, 2018, Including commodity futures in asset allocation in China, Quant. Finance, 18, 1487, 10.1080/14697688.2018.1444554 Lyu, 2021, Time-varying effects of global economic policy uncertainty shocks on crude oil price volatility: New evidence, Resourc. Pol., Forthcoming Lyu, 2020, Revisiting the role of economic uncertainty in oil price fluctuations: Evidence from an extention of the classic Kilian (2009) model Mumtaz, 2009, Time-varying yield curve dynamics and monetary policy, J. Appl. Econom., 24, 895, 10.1002/jae.1084 Mumtaz, 2018, The changing transmission of uncertainty shocks in the US, J. Business Econ. Stat., 36, 239, 10.1080/07350015.2016.1147357 Panousi, 2012, Investment, idiosyncratic risk, and ownership, J. Finance, 67, 1113, 10.1111/j.1540-6261.2012.01743.x Pástor, 2012, Uncertainty about government policy and stock prices, J. Finance, 67, 1219, 10.1111/j.1540-6261.2012.01746.x Pástor, 2013, Political uncertainty and risk premia, J. Financ. Econ., 110, 520, 10.1016/j.jfineco.2013.08.007 Plante, 2018, The zero lower bound and endogenous uncertainty, Econ. J., 128, 1730, 10.1111/ecoj.12445 Primiceri, 2005, Time varying structural vector autoregressions and monetary policy, Rev. Econ. Stud., 72, 821, 10.1111/j.1467-937X.2005.00353.x Reboredo, 2016, Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach, Int. Rev. Econ. Finance, 43, 284, 10.1016/j.iref.2015.10.043 Riggi, 2015, The time varying effect of oil price shocks on euro-area exports, J. Econ. Dynam. Contr., 59, 75, 10.1016/j.jedc.2015.07.002 Rosa, 2014, The high-frequency response of energy prices to U.S. monetary policy: understanding the empirical evidence, Energy Econ., 45, 295, 10.1016/j.eneco.2014.06.011 Saijo, 2017, The uncertainty multiplier and business cycles, J. Econ. Dynam. Contr., 78, 1, 10.1016/j.jedc.2017.02.008 Tang, 2012, Index investment and the financialization of commodities, Financ. Anal. J., 68, 54, 10.2469/faj.v68.n6.5 Triantafyllou, 2017, Option-implied expectations in commodity markets and monetary policy, J. Int. Money Finance, 77, 1, 10.1016/j.jimonfin.2017.06.002 Van Robays, 2016, Macroeconomic uncertainty and oil price volatility, Oxf. Bull. Econ. Stat., 78, 671, 10.1111/obes.12124 Yang, 2020 Zhang, 2019, Economic policy uncertainty in the US and China and their impact on the global markets, Econ. Modell., 79, 47, 10.1016/j.econmod.2018.09.028 Zhu, 2020, Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression, Appl. Econ., 52, 2292, 10.1080/00036846.2019.1688243