Cyclicality of commodity markets with respect to the U.S. economic policy uncertainty based on granger causality in quantiles. (21st October 2020)

• Record Type: Journal Article
• Authors: Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq
• Is Part Of: Economic notes. Volume 50:Number 1(2021)
• Page Start: n/a
• Page End: n/a
• Publication Date: 2020-10-21
• Subjects: commodities -- Granger causality -- quantiles -- U.S. economic policy uncertainty; Economics -- Periodicals; 330.9
• DOI: 10.1111/ecno.12179
• Languages: English
• ISSNs: 0391-5026

Abstract

Abstract: Given the importance of the U.S. in global commodity markets, the goal is to explore whether U.S. 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.