Cyclicality of commodity markets with respect to us economic policy uncertainty based on granger causality in quantiles
Name:
Economic Policy Uncertainty_Co ...
Embargo:
2022-10-21
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85.42Kb
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Microsoft Word 2007
Description:
Accepted Manuscript
Abstract
Given the importance of U.S. in global commodity markets, the goal is to explore whether US economic policy uncertainty impacts the price performance of certain commodities. The analysis uses the Granger causality in quantiles method that allows us to test whether there are different effects under different market conditions. The results document that economic uncertainty impacts the returns on the commodities considered, with the effects clustering around the tail of their conditional distribution. Robust evidence was obtained under alternative definitions of uncertainty.Citation
Apergis, N., Hayat, T. and Saeed, T., (2020). 'Cyclicality of commodity markets with respect to the US economic policy uncertainty based on granger causality in quantiles'. Economic Notes, pp. 1-17.Publisher
WileyJournal
Economic NotesDOI
10.1111/ecno.12179Additional Links
https://onlinelibrary.wiley.com/doi/abs/10.1111/ecno.12179Type
ArticleLanguage
enISSN
0391-5026ae974a485f413a2113503eed53cd6c53
10.1111/ecno.12179
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