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Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China

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  • Song, Lu
  • Tian, Gengyu
  • Jiang, Yonghong
Abstract
This paper provides a fresh perspective to explore the network correlations among commodity, exchange rate, and categorical economic policy uncertainties (EPU) in China. We try to contribute to the literature by examining the spillover mechanism with a relatively novel connectedness network using the monthly data over the period between June 2006 and January 2021. Our results suggest that prior to the recession, China’s commodity price is subject to greater spillovers from the exchange rate than recessions. The domestic commodity prices are more sensitive to monetary policy uncertainty and fiscal policy uncertainty. The occurrence of COVID-19 revises the dominance in the system from monetary policy uncertainty and fiscal policy uncertainty to trade policy uncertainty.

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  • Song, Lu & Tian, Gengyu & Jiang, Yonghong, 2022. "Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:ecofin:v:60:y:2022:i:c:s106294082200016x
    DOI: 10.1016/j.najef.2022.101656
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    More about this item

    Keywords

    Economic policy uncertainty; Commodity market; Exchange rate; Spillover Effect; Crisis;
    All these keywords.

    JEL classification:

    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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