 Does economic policy uncertainty drive nonlinear risk spillover in the commodity futures market?Yinghua Ren, Anqi Tan, Huiming Zhu and Wanru Zhao International Review of Financial Analysis, 2022, vol. 81, issue C Abstract: We propose the rolling tail-event driven network technique (RTENET) to measure the dynamic nonlinear tail risk spillover of 20 US commodity futures. In addition, we investigate the effect of economic policy uncertainty (EPU) on risk spillover based on quantile-on-quantile regression (QQR). We find that the risk spillover effect increases sharply and that the market is tightly connected when EPU is at a high level. Crude oil, silver and corn, the three greatest risk transmitters in the system, need more attention. More importantly, the effect of EPU on the risk spillover of the commodity futures market is asymmetric and heterogeneous. When the risk spillover falls within extremely high quantiles, a significant positive effect of EPU is observed. In addition, grain and soft crops are more sensitive to EPU. Our findings provide a reference for policy-makers and investors to manage commodity futures markets in different uncertainty periods. Keywords: Economic policy uncertainty; Commodity futures market; Nonlinear tail risk spillover; Rolling tail-event driven network; Quantile-on-quantile approach (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000552 DOI: 10.1016/j.irfa.2022.102084 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.