On the time-varying correlations between oil-,gold-,and stock markets:The heterogeneous roles of policy uncertainty in the US and China
On the time-varying correlations between oil-, gold-, and stock markets: The heterogeneous roles of policy uncertainty in the US and China作者机构：School of Economics and ManagementNanjing University of Science and TechnologyNanjing210094China
出 版 物：《Petroleum Science》 (石油科学（英文版）)
年 卷 期：2022年第19卷第3期
页 面：1420-1432页
核心收录：
学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学] 020202[经济学-区域经济学]
主 题：Policy uncertainty Crude oil Gold Cross-asset correlations Quantile regression
摘 要：This paper investigates the effects of economic policy uncertainty(EPU)and monetary policy uncertainty(MPU)in the US and China on oil-stock and gold-stock correlations.A quantile regression approach is employed to analyze the heterogeneous impacts under different market correlation *** findings suggest that the“US impactprevails across all market correlations in the sample,while“China impactis found for oil-stock ***,the impacts of EPU and MPU on correlations of different asset pairs exhibit heterogeneity in direction and in different correlation *** and MPU have homogenously negative effects on gold-stock correlations across various correlation ***,in terms of oil-stock correlations,they exhibit more significant and stronger positive impacts in the medium and high correlation regime than in the low correlation *** can provide a better diversification for stock market risks than crude oil during the period of high level of economic uncertainty.
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