Connectedness of commodity,exchange rate and categorical economic policy uncertainties — Evidence from China |
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| Institution: | 1. School of Business, Central South University, Changsha 410083, China;1. Ruhr University of Bochum, Chair for International Economics, D-44801 Bochum, Germany;2. Kiel Institute for the World Economy, Hindenburgufer 66, D-24105 Kiel, Germany;3. University of Duisburg-Essen, Department of Economics, Chair for Econometrics, D-45117 Essen, Germany;4. FOM Hochschule für Oekonomie & Management, University of Applied Sciences, Herkulesstr. 32, D-45127 Essen, Germany |
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| Abstract: | This paper provides a fresh perspective to explore the network correlations among commodity, exchange rate, and categorical economic policy uncertainties (EPU) in China. We try to contribute to the literature by examining the spillover mechanism with a relatively novel connectedness network using the monthly data over the period between June 2006 and January 2021. Our results suggest that prior to the recession, China’s commodity price is subject to greater spillovers from the exchange rate than recessions. The domestic commodity prices are more sensitive to monetary policy uncertainty and fiscal policy uncertainty. The occurrence of COVID-19 revises the dominance in the system from monetary policy uncertainty and fiscal policy uncertainty to trade policy uncertainty. |
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| Keywords: | Economic policy uncertainty Commodity market Exchange rate Spillover Effect Crisis |
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