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

Sun, Xiaolei; Chen, Xiuwen; Wang, Jun; Li, Jian Ping

doi:10.1016/j.najef.2018.10.002

Cited by 70 publications

(27 citation statements)

References 64 publications

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“…In continuation, Sun et al (2020) investigated the multi-scale nexus between oil prices and economic policy uncertainty in the time-frequency domain for G-7 economies. Using the Wavelet coherence methodology, and linear Granger causality test, the results unveil that in the short-term, the association between economic policy uncertainty (EPU) and economic growth is weak but strengthens gradually while approaching to long run.…”

Section: Introductionmentioning

confidence: 99%

Natural resources commodity prices volatility and economic performance: Evidence from China pre and post COVID-19

Mei

Ali

et al. 2021

Resources Policy

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Volatility in the prices of natural resources particularly in the Covid-19 period is the subject of major concern in recent times. Although many studies have empirically investigated the influence of oil prices on economic growth and Covid-19 on oil prices. However, the current study contributes to the literature by investigating the causal linkage of natural resources commodity prices and economic growth in the pre and post Covid-19 period for China over the period from January 01, 2019, to April 01, 2021. This study employed the wavelet power spectrum, and the wavelet coherence approaches, and the frequency domain causality test, which is known for the causal identification in the long-run, medium-run, and short-run. The empirical findings reveal that the natural resource commodity prices are more vulnerable than the economic performance particularly in the Covid-19 peak period in China. However, the wavelet coherence approach demonstrates that a bidirectional causal association exists between natural resources commodity prices and economic performance at different frequencies and time periods. Additionally, the frequency domain causality test confirms that the natural resource commodity prices volatility significantly causes economic performance only in the medium-run. Based on the empirical findings, this study recommends that innovative technological and precautionary measures must be taken to accommodate or overcome natural disasters in the future, and tackle natural resources commodity prices volatility.

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Section: Introductionmentioning

confidence: 99%

Natural resources commodity prices volatility and economic performance: Evidence from China pre and post COVID-19

Mei

Ali

et al. 2021

Resources Policy

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“…e role played by economic policy uncertainty in economic activity has aroused interest from researchers, investors, and policymakers since the emergence of the 2008 global financial crisis [1]. ere has been growing awareness in understanding the role that economic policy uncertainty plays in motivating macroeconomic fluctuations.…”

Section: Introductionmentioning

confidence: 99%

Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis

Asafo−Adjei

Agyapong

Agyei

et al. 2020

Discrete Dynamics in Nature and Society

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This study explores how global economic policy uncertainty (EPU) shocks comove with stock returns (SR) of eight African countries—Botswana, Ghana, Kenya, Morocco, Namibia, Nigeria, South Africa, and Zambia. The study employed daily data from December 2010 to December 2019 using wavelet coherence analysis. The results showed that global EPU comoves with most of the SR of African markets and was concentrated in the longer term, especially during the period between 2011 and 2019, although not substantially. The findings indicate that short-term investments in African stocks are less susceptible to global economic policy uncertainty. It is recommended that foreign investors could hedge agaist policy uncertainties by investing in stock listed in African Stock exchanges while appropriate country-level policies are deployed to manage long-term effect of EPU.

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“…According to Bordo et al (2016) and Zhang et al (2019), economic policy uncertainty has a negative impact on bank loan increases. Kang et al (2017), Ji et al (2018, Sun et al (2018), Chen et al (2019) emphasized in their studies that economic policy uncertainty increases asset and energy prices. Nguyen et al (2018) and Choudhry (2018) investigated the relationship between economic policy uncertainty and housing prices.…”

Section: Extended Summarymentioning

confidence: 99%

Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi

Küçüksakarya

2021

Optimum Ekonomi Ve Yönetim Bilimleri Dergisi

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Çalışmada 23 ülke için net portföy yatırımlarıyla ülkelerin ulusal ekonomik politika belirsizlikleri ve global ekonomik politika belirsizliği arasındaki kısa ve uzun dönem ilişkileri 2005-2019 dönemi yıllık verileri kullanılarak analiz edilmiştir. Çalışmada öncelikle ülkeler arasında kesit bağımlılığı test edilmiştir. Kesit bağımlılığı bulunduğu için ikinci nesil panel birim kök testi olan CIPS yardımıyla değişkenlerin bütünleşme dereceleri belirlenmiştir. Panel ARDL sonuçları değişkenler arasında bir eşbütünleşme ilişkisini gösterirken, aynı zamanda ülkelerin ekonomik politika belirsizliklerinin hem cari fiyatlarla hem de satın alma gücü paritesi temelli ölçülen global ekonomik politika belirsizliklerinin net portföy yatırımları üzerinde farklılaşan etkilerini göstermiştir. Kısa dönem anlamlı etkiler yanında panel için anlamlı ama nispeten düşük uyum hızı bulunmuştur. Kısa dönem sonuçlarına göre portföy yatırımlarına konu olmayan ülkeler için bir eşbütünleşme ilişkisi bulunamazken uyum hızları da ülkelere göre ciddi farklılıklar göstermiştir. Bu sonuçlar bize uluslararası portföy yatırımcılarının, politika yapıcılarının ve piyasa profesyonellerinin portföy yatırımlarıyla ilgili kararlarında politika belirsizliklerinin de dikkate alması gerektiğini göstermektedir.

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

Cited by 70 publications

References 64 publications

Natural resources commodity prices volatility and economic performance: Evidence from China pre and post COVID-19

Natural resources commodity prices volatility and economic performance: Evidence from China pre and post COVID-19

Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis

Ekonomik Politika Belirsizliği ve Portföy Yatırımları İlişkisinin Panel ARDL Analizi

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