Does the US economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies
Does the US economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies
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DOI：
10.1016/j.eneco.2019.07.024
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发表时间：
2019-09-01
期刊：
影响因子：
12.8
通讯作者：
Tiwari, Aviral Kumar
中科院分区：
文献类型：
--
作者：
Albulescu, Claudiu Tiberiu;Demirer, Riza;Tiwari, Aviral Kumar
我们通过使用来自发达国家和新兴国家的商品货币样本，研究美国经济政策不确定性对原油和货币市场连通性的可能因果影响，为新兴文献中美国货币政策作为全球金融周期驱动因素的作用提供了新颖的见解。一系列基于格兰杰的线性和非线性因果关系检验表明，经济政策的不确定性与石油和货币市场的连通性之间存在因果关系，特别是在低频率下，在全球金融危机爆发后更为显著。虽然原油通常是所有频带货币冲击的净传递者，但石油的溢出效应主要集中在澳大利亚和新西兰等十国集团货币上，这些货币经常被用作全球套利交易策略中的投资货币。总体而言，我们的研究结果表明，经济政策的不确定性通过油价存在显著的传递效应，溢出到货币市场，这与新兴证据一致，即美联储的货币政策是全球金融周期的主要驱动力，该周期描述了金融市场中全球资本流动、信贷活动和资产价格的模式。(C) 2019 Elsevier B.V.版权所有
We provide novel insight to the emerging literature on the role of U.S. monetary policy as a driver of a global financial cycle by examining the possible causal effect of U.S. economic policy uncertainty on the connectedness of crude oil and currency markets, using a sample of commodity currencies from advanced and emerging nations. A battery of linear and nonlinear Granger-based causality tests indicate the presence of a causal relationship between economic policy uncertainty and the connectedness of oil and currency markets, particularly at low frequencies and more significantly after the outburst of the global financial crisis. While crude oil generally serves as a net transmitter of shocks to currencies across all frequency bands, the spillover effects from oil are largely concentrated towards the G10 currencies of Australian and New Zealand dollar that are often used as investment currencies in global carry trade strategies. Overall, our findings suggest the presence of a significant pass-through effect of economic policy uncertainty via oil prices, spilling over to the currency market, in line with the emerging evidence that the monetary policy by the U.S. Fed serves as a major driver of a global financial cycle that describes patterns in global capital flows, credit activity and asset prices across financial markets. (C) 2019 Elsevier B.V. All rights reserved.