Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach
2016 (English)In: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 43, 284-298 p.Article in journal (Refereed) PublishedText
Abstract 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 1994â2015, 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.
Place, publisher, year, edition, pages
Elsevier, 2016. Vol. 43, 284-298 p.
Commodity prices, Financial uncertainty, Policy uncertainty, Quantile regression
Economics Economics and Business
IdentifiersURN: urn:nbn:se:liu:diva-127337DOI: 10.1016/j.iref.2015.10.043ISI: 000375632300021OAI: oai:DiVA.org:liu-127337DiVA: diva2:921767
Funding agencies: Xunta de Galicia; FEDER [GPC2013-045]2016-04-212016-04-212016-06-09Bibliographically approved