期刊
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
卷 57, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.najef.2021.101447
关键词
Connectedness; Economic policy uncertainty; Crude oil; Commodity markets; Rolling windows; Wavelet analysis
资金
- National Natural Science Foundation of China [71671062]
The study shows that the total connectedness between EPU, oil, and commodities becomes stronger as the time scale increases. The net connectedness of EPU and WTI is positive in the system, and during financial crises the connectedness remains at a high level, with EPU and crude oil contributing significantly to commodities.
This article investigates the time-frequency connectedness of economic policy uncertainty (EPU), WTI crude oil and Chinese commodity markets during the period between 2004 and 2020. Rolling window wavelet vector autoregression and connectedness networks are developed to evaluate the time-varying characteristics of the connectedness. The empirical results are as follows: First, the total connectedness between EPU, oil and commodities becomes stronger as the time scale increases. Second, the net connectedness of EPU and WTI in the system is positive, indicating that EPU and WTI are contributors to information and will affect financial markets across time scales. Third, the connectedness remains at a high level during financial crises across all scales, and the contribution of EPU and crude oil to commodities increases significantly. Specifically, compared with other commodity sectors, grains are greatly affected by EPU under the condition that the energy sector is seriously affected by crude oil. Overall, investors and policy makers should consider connectedness in terms of time and frequency when making a decision.
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