首页|On the time-varying correlations between oil-,gold-,and stock markets:The heterogeneous roles of policy uncertainty in the US and China
On the time-varying correlations between oil-,gold-,and stock markets:The heterogeneous roles of policy uncertainty in the US and China
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NETL
NSTL
万方数据
维普
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 find-ings 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.
NETL
NSTL
万方数据
维普
