Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains

Dynamic interactions between policy uncertainty and economic activity, including oil prices, have attracted increasing amounts of scholarly interest, but few studies have considered the inherent feature that the entire market is composed of different stakeholders operating in different time horizons. To fill this gap and address this issue, this paper proposes a multi-scale correlation framework. Specifically, we use the wavelet coherence method and scale-by-scale linear Granger causality tests to explore the co-movement and causality of pairs of economic policy uncertainty indices of G7 countries, China, Brazil, and Russia and West Texas Intermediate (WTI) oil prices. Our results show that the interaction between economic policy uncertainty and oil prices in the short-term is weak but gradually strengthens towards the long-term, especially when significant historical political or financial events occurred. Moreover, a consistent conclusion is that the interaction is negative in the medium-term, while it is positive in the long-term. Further, Granger causality tests at different time-scales show that no Granger causality from economic policy uncertainty to oil prices exists in the short-term for all sample countries, except the US, while there is a strong unidirectional or bidirectional Granger causality for all researched countries in the medium- and the long-term.     

Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network

In the context of the growing financialisation of commodity markets, debate on how they interact with each other has returned to centre stage. The main motivation of this study is to research the price interactions of international commodities from the perspective of information transmission by proposing an innovative transfer entropy network based on empirical mode decomposition. We also identify core commodities with the strongest transmission intensity in information transmission networks at different time scales. The empirical results demonstrate that the network transmission structure and core varieties change based on the time scale. In the short term, metals have the strongest transmission intensity, whereas, in the medium and long term, the energy sector has the strongest transmission intensity. These findings should allow regulators and market participants to better understand the essential characteristics and internal structures of international commodity markets.