原油价格与经济政策不确定性对大宗商品市场非对称冲击效应研究

利用面板分位回归模型，考量不同市场环境下原油价格与经济政策不确定性对大宗商品市场非对称性冲击效应。结果表明：油价冲击对中国大宗商品收益的影响具有非对称性，正负油价冲击对其均有促进作用，但随着市场环境好转，正油价冲击的作用逐渐增强，负油价冲击则逐渐减弱；政策不确定性对大宗商品收益有促进作用，但在牛市环境下有抑制作用；且危机前后，油价冲击对大宗商品收益的影响存在非对称性效应。

Asymmetric Effects of Crude Oil Price and Economic Policy Uncertainty on Commodity Market

In order to explore the impact of global crude oil price and economic policy uncertainty on commodity market under different market conditions, we establish the panel quantile regression model. And sub-samples were compared before and after the financial crisis to analyze the difference of this effect, focusing on the analysis of the impact of positive and negative oil price shocks on China''s bulk commodities. The results show that the impact of oil price shocks on China''s commodity is asymmetric during the full sample, and positive and negative oil price shocks have a positive effect on them. However, as the market environment improves, the effect of positive oil price shocks gradually increases, while the effect of negative oil prices gradually weakens. The impact of economic policy uncertainty on commodity returns has a catalytic effect in the normal market environment and an inhibitory effect in the bull market environment. Before and after the crisis, there was an asymmetric effect of the impact of oil price shocks on commodity returns. The influence of policy uncertainty plays an inhibitory role in the bear market environment and plays a catalytic role in the bull market environment. Its role is greater before the crisis than after the crisis.