 Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysisFaheem Aslam, Zil-e-huma,, Rashida Bibi and Paulo Ferreira Resources Policy, 2022, vol. 75, issue C Abstract: This study combines Seasonal-Trend decomposition using LOESS (STL) and multifractal cross-correlation analysis (MFCCA) to estimate the cross-correlations between the evolution of the economic policy uncertainty (EPU) of the USA and return of precious and industrial metals. Based on daily closing values of EPU and eight metals ranging from 01-Jan-2010 to 02-May-2021, the empirical findings confirm the presence of nonlinear dependencies, based on all EPU-Metal relationships, suggesting that EPU and metal markets are interlinked. Furthermore, there is evidence of multifractality, although with a varying degree, between EPU and metal markets. The strongest multifractality is found in EPU-Tin and EPU-Silver, while EPU-Platinum and EPU-Gold exhibit the weakest multifractality. Precious metals show persistent cross-correlations while industrial metals have anti-persistent cross-correlations with EPU, with that cross-correlation behavior being more persistent in the case of small fluctuations, which have different implications for the different market agents. Keywords: Metals; Economic policy uncertainty; MFCCA; Cross-correlation; Hurst exponent (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:jrpoli:v:75:y:2022:i:c:s0301420721004815 DOI: 10.1016/j.resourpol.2021.102473 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy 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.