US economic policy uncertainty spillovers to commodity returns: fresh evidence through Granger causality in quantiles
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AbstractGiven 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 an alternative definition of uncertainty.
CitationApergis, N., Hayat, T., and Saeed, T. (2020). 'US economic policy uncertainty spillovers to commodity returns: fresh evidence through Granger causality in quantiles'. Economic Notes. (In press).
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