期刊
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
卷 78, 期 -, 页码 433-445出版社
ELSEVIER
DOI: 10.1016/j.iref.2021.12.010
关键词
Oil price; Economic policy uncertainty; Precious metal returns; TVP-VAR framework
资金
- National Natural Science Foundation of China [71633006, 72104253, 71874207]
- Natural Science Foundation of Hunan Province [2021JJ40797]
- Innovation Platform for Open Foundationof the Education Department of Hunan Province [20K133]
Oil price shocks and economic policy uncertainty have complex and changing effects on the precious metal market, showing different trends and correlations over time. In terms of transmission channels, news uncertainty and inflation uncertainty are the most significant influencing factors. During major economic crises or emergencies, evidence of overreactions in the precious metal markets may exist.
Oil price shocks and economic policy uncertainty are the two main drivers of many macroeconomic and financial variables. In the context of commodity financialization, these two shocks are more interrelated and even have a combined effect on the precious metals market. Therefore, using the time-varying parameter vector autoregression (TVP-VAR) framework, we actively analyze the dynamic impacts of oil price shocks and economic policy uncertainty on precious metal returns using monthly data from April 1990 to April 2018. The results show that oil price shocks had positive effects on precious metal returns before the international financial crisis, while these impacts have been negative since the international financial crisis. The impacts of economic policy uncertainty on precious metal returns change over time and are positive in most cases. The effects of oil price shocks on precious metal returns are amplified by economic policy uncertainty. In the field of transmission channels of economic policy uncertainty, we find that news uncertainty and inflation uncertainty are the most significant. In addition, during a major economic crisis or emergency, we discover some evidence of overreactions in the precious metal markets.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据