Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis
Huiming Zhu,
Weiyan Chen,
Liya Hau and
Qitong Chen
The North American Journal of Economics and Finance, 2021, vol. 57, issue C
Abstract:
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.
Keywords: Connectedness; Economic policy uncertainty; Crude oil; Commodity markets; Rolling windows; Wavelet analysis (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (29)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940821000759
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000759
DOI: 10.1016/j.najef.2021.101447
Access Statistics for this article
The North American Journal of Economics and Finance is currently edited by Hamid Beladi
More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).