The asymmetric impact of global economic policy uncertainty on international grain prices

Shaobo Long, Jieyu Li and Tianyuan Luo

Journal of Commodity Markets, 2023, vol. 30, issue C

Abstract: Using monthly data from January 1998 to May 2021, this study investigates the asymmetric impact of global economic policy uncertainty (GEPU) on international grain prices by using nonlinear autoregressive distribution lag (NARDL). We find that there is a positive, asymmetric relationship between GEPU and international grain prices. Specifically, GEPU has a greater negative than positive impact on wheat and maize prices, and the positive impact on soybean price is more pronounced than the negative one. We have also observed that the asymmetric impact of GEPU on rice price is not significant in the long run. The findings have important implications to formulate targeted and differentiated international grain price regulatory policies.

Keywords: NARDL; Global economic policy uncertainty; International grain prices; Asymmetric effect (search for similar items in EconPapers)
JEL-codes: D81 O13 Q11 Q18 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000307

DOI: 10.1016/j.jcomm.2022.100273

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