Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach
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DOI：
10.1016/j.iref.2015.10.043
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发表时间：
2016-05
影响因子：
4.5
通讯作者：
J. Reboredo;G. Uddin
中科院分区：
文献类型：
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作者：
J. Reboredo;G. Uddin
本文研究了金融压力和政策不确定性对美国能源（原油、取暖油和天然气）和金属（黄金、银、铜、铂和钯）商品期货价格动态的影响。通过对1994-2015年的分位数回归分析，我们的实证结果表明，在控制了股票市场收益率和利率的影响后，商品期货价格与VIX衡量的金融不确定性、商品价格与政策不确定性之间既不存在协动关系，也不存在格兰杰因果关系。然而，我们发现的证据表明，金融压力有格兰杰因果关系的影响，在中间和上部的商品收益率分位数，但没有证据的共同运动。我们还发现，全球金融危机对商品收益率的影响在各个分位数之间存在差异，仅在上分位数中产生负面影响。我们的研究结果表明，一般的股票市场的不确定性条件并不那么重要，在决定商品期货价格。
This paper examines the impact of financial stress and policy uncertainty on the price dynamics of energy (crude oil, heating oil and gas) and metal (gold, silver, copper, platinum and palladium) commodity futures in the USA. Using a quantile regression approach for the period 1994–2015, our empirical results show that, after controlling for the effect of general stock market returns and interest rates, there is neither co-movement nor Granger causality between commodity futures prices and financial uncertainty as measured by the VIX or between commodity prices and policy uncertainty. However, we find evidence that financial stress had Granger causality effects in intermediate and upper commodity return quantiles, but no evidence of co-movement. We also show that the impact of the global financial crisis on commodity returns differed across quantiles, only having a negative impact in upper quantiles. Our results indicate that general stock market uncertainty conditions are not so crucial in determining commodity futures prices.