The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches

Yonghong Jiang, Zhiming Ao and Bin Mo

The North American Journal of Economics and Finance, 2023, vol. 66, issue C

Abstract: Based on the frequency spillover method extended by Baruník and Křehlík (2018), we explore the risk spillover relationship between China’s economic policy uncertainty (CNEPU) and commodity futures in different frequency domains with daily settlement price data of 14 commodity futures in China. The results show that the risk spillover relationship between CNEPU and the commodity market mainly occurs in the short term. Quantile connectedness results show that economic policy uncertainty, which mainly plays the role of risk transmitter, is more closely related to the commodity market during the market boom and recession. Soybeans, soybean meal, and corn have shown high investment value in the process of market recovery, which is exposed to less risk spillover from policy uncertainty. Finally, the economic crisis with different characteristics will have specific impacts on asymmetric risk spillovers based on certain impact mechanisms.

Keywords: Commodity markets; Economic policy uncertainty; Frequency spillover method; Quantile connectedness approaches (search for similar items in EconPapers)
JEL-codes: C22 E60 G10 G13 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000281

DOI: 10.1016/j.najef.2023.101905

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