程胜： How economic policy uncertainty affects asymmetric spillovers in food and oil pric.

我校bat365在线中国官网登录入口程胜老师在T1级别期刊——《Resources Policy》上发表题为“How economic policy uncertainty affects asymmetric spillovers in food and oil pric”。论文作者程胜为bat365在线中国官网登录入口教授、博士生导师。

Abstract /摘要：

Inthe context of potentialasymmetricvolatilityspilloversbetween two crucial commodity markets,oilandfood, little is known about the vital role played bypolicyuncertainties. This study explores the heterogeneous roles ofpolicyuncertainties onspilloversbetween crudeoiland corn and soybeans under good and bad volatility regimesfromboth time and frequency domain perspectives. We find, first, thatoil-foodmarketspilloversareasymmetric, time-varying and crisis-sensitive. Second, the time-frequency dependence betweenpolicyuncertainties and oilfood volatilityspilloversis prominentinthe context of major international events. Third, monetarypolicyuncertainty(TPU) weaklyaffectstheoil-foodspillover system. Still,inthe long run,economicpolicyuncertainty(EPU) and fiscalpolicyuncertainty(FPU) exert significant positive effects, while monetarypolicyuncertainty(MPU) is negative.Inaddition, there is considerable heterogeneityinthe roles played bypolicyuncertaintiesinthe specific crudeoil-foodpairwisespillovers. Our study has important implications for policymakers to avoid large-scale cross-market spillover transmission and for investors to hedge risks and construct appropriate portfolios.

Title/题目:

How economic policy uncertainty affects asymmetric spillovers in food and oil pric

Authors/作者:

Cao, Yan; Cheng, Sheng ; Li, Xinran

Keywords /关键词

Oil volatility；Food volatility；Economic policy uncertaintyAsymmetric effectsWavelet coherence

DOI:10.1016/j.resourpol.2023.104086

全文链接：

https://www.sciencedirect.com/science/article/pii/S0301420723007973?via%3Dihub