Cargando…
Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains
With a sample of monthly data from January 2000 to July 2021, this paper investigates the risk connectedness relationship between different kinds of China’s EPU and global oil prices in both time and frequency domains. To achieve that, a research framework mainly consists of wavelet transform method...
Autores principales: | , , , |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Springer US
2022
|
Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9010716/ https://www.ncbi.nlm.nih.gov/pubmed/35440845 http://dx.doi.org/10.1007/s10614-022-10254-6 |
_version_ | 1784687541910241280 |
---|---|
author | Cheng, Sheng Liu, Wei Jiang, Qisheng Cao, Yan |
author_facet | Cheng, Sheng Liu, Wei Jiang, Qisheng Cao, Yan |
author_sort | Cheng, Sheng |
collection | PubMed |
description | With a sample of monthly data from January 2000 to July 2021, this paper investigates the risk connectedness relationship between different kinds of China’s EPU and global oil prices in both time and frequency domains. To achieve that, a research framework mainly consists of wavelet transform method and spillover index approach is established. The results show that EPU of China receives the risk spillover from global oil prices in most cases. Moreover, we find fiscal policy uncertainty and trade policy uncertainty are generally the recipients of risk spillover on most time scales, except that monetary policy uncertainty primarily serves as the risk transmitter. Lastly, the risk role of exchange rate policy uncertainty in China has the most frequent change among four kinds of EPU. This paper provides valuable policy implications for policymakers, investors and risk managers in the energy market. |
format | Online Article Text |
id | pubmed-9010716 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Springer US |
record_format | MEDLINE/PubMed |
spelling | pubmed-90107162022-04-15 Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains Cheng, Sheng Liu, Wei Jiang, Qisheng Cao, Yan Comput Econ Article With a sample of monthly data from January 2000 to July 2021, this paper investigates the risk connectedness relationship between different kinds of China’s EPU and global oil prices in both time and frequency domains. To achieve that, a research framework mainly consists of wavelet transform method and spillover index approach is established. The results show that EPU of China receives the risk spillover from global oil prices in most cases. Moreover, we find fiscal policy uncertainty and trade policy uncertainty are generally the recipients of risk spillover on most time scales, except that monetary policy uncertainty primarily serves as the risk transmitter. Lastly, the risk role of exchange rate policy uncertainty in China has the most frequent change among four kinds of EPU. This paper provides valuable policy implications for policymakers, investors and risk managers in the energy market. Springer US 2022-04-15 2023 /pmc/articles/PMC9010716/ /pubmed/35440845 http://dx.doi.org/10.1007/s10614-022-10254-6 Text en © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2022 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic. |
spellingShingle | Article Cheng, Sheng Liu, Wei Jiang, Qisheng Cao, Yan Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains |
title | Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains |
title_full | Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains |
title_fullStr | Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains |
title_full_unstemmed | Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains |
title_short | Multi–Scale Risk Connectedness Between Economic Policy Uncertainty of China and Global Oil Prices in Time–Frequency Domains |
title_sort | multi–scale risk connectedness between economic policy uncertainty of china and global oil prices in time–frequency domains |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9010716/ https://www.ncbi.nlm.nih.gov/pubmed/35440845 http://dx.doi.org/10.1007/s10614-022-10254-6 |
work_keys_str_mv | AT chengsheng multiscaleriskconnectednessbetweeneconomicpolicyuncertaintyofchinaandglobaloilpricesintimefrequencydomains AT liuwei multiscaleriskconnectednessbetweeneconomicpolicyuncertaintyofchinaandglobaloilpricesintimefrequencydomains AT jiangqisheng multiscaleriskconnectednessbetweeneconomicpolicyuncertaintyofchinaandglobaloilpricesintimefrequencydomains AT caoyan multiscaleriskconnectednessbetweeneconomicpolicyuncertaintyofchinaandglobaloilpricesintimefrequencydomains |