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- W4200223887 abstract "Oil price shocks and economic policy uncertainty are the two main drivers of many macroeconomic and financial variables. In the context of commodity financialization, these two shocks are more interrelated and even have a combined effect on the precious metals market. Therefore, using the time-varying parameter vector autoregression (TVP-VAR) framework, we actively analyze the dynamic impacts of oil price shocks and economic policy uncertainty on precious metal returns using monthly data from April 1990 to April 2018. The results show that oil price shocks had positive effects on precious metal returns before the international financial crisis, while these impacts have been negative since the international financial crisis. The impacts of economic policy uncertainty on precious metal returns change over time and are positive in most cases. The effects of oil price shocks on precious metal returns are amplified by economic policy uncertainty. In the field of transmission channels of economic policy uncertainty, we find that news uncertainty and inflation uncertainty are the most significant. In addition, during a major economic crisis or emergency, we discover some evidence of overreactions in the precious metal markets." @default.
- W4200223887 created "2021-12-31" @default.
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- W4200223887 creator A5064019693 @default.
- W4200223887 date "2022-03-01" @default.
- W4200223887 modified "2023-10-14" @default.
- W4200223887 title "Do oil prices and economic policy uncertainty matter for precious metal returns? New insights from a TVP-VAR framework" @default.
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- W4200223887 doi "https://doi.org/10.1016/j.iref.2021.12.010" @default.
- W4200223887 hasPublicationYear "2022" @default.
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