Petroleum Science >2022,??lssue 3:??- DOI: https://doi.org/10.1016/j.petsci.2021.11.015.
On the time-varying correlations between oil-, gold-, and stock markets: The heterogeneous roles of policy uncertainty in the US and China Open?Access
文章信息
作者：Wen Zhao, Yu-Dong Wang
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引用方式：Wen Zhao, Yu-Dong Wang, On the time-varying correlations between oil-, gold-, and stock markets: The heterogeneous roles of policy uncertainty in the US and China, Petroleum Science, Volume 19, Issue 3, 2022, Pages 1420-1432, https://doi.org/10.1016/j.petsci.2021.11.015.
文章摘要
Abstract: 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 regimes. Our findings suggest that the “US impact” prevails across all market correlations in the sample, while “China impact” is found for oil-stock correlations. Furthermore, the impacts of EPU and MPU on correlations of different asset pairs exhibit heterogeneity in direction and in different correlation regimes. EPU and MPU have homogenously negative effects on gold-stock correlations across various correlation regimes. Differently, 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 regime. Gold 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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Keywords: Policy uncertainty; Crude oil; Gold; Cross-asset correlations; Quantile regression