Trade policy uncertainty, shipping risk, and commodity markets

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2024-12-12 DOI:10.1016/j.frl.2024.106604

Mengya Shang , Lin Zhang , Hongcheng Duan , Lizhi Wang , Nanyun Xiao

引用次数: 0

Abstract

This study examines the impact of trade policy uncertainty (TPU) on commodity market volatility through shipping risk. We decompose realized volatility into common and idiosyncratic components. Using the time-varying parameter vector autoregression Diebold–Yilmaz model, we explore the spillover effects of TPU and shipping risk and the connectedness of commodity market returns. Findings reveal that the connectedness is highest for common volatility, followed by realized volatility, and lowest for idiosyncratic volatility. TPU has notable net spillover effects on all types of volatility. However, shipping risk has notable net spillover effects only on idiosyncratic volatility. We also demonstrate that TPU directly impacts realized volatility and common volatility in the commodity market. By contrast, for idiosyncratic volatility, TPU indirectly affects the commodity market through shipping risk.

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贸易政策的不确定性、航运风险和大宗商品市场

本研究探讨贸易政策不确定性（TPU）透过运输风险对商品市场波动的影响。我们将实现的波动性分解为常见和特殊的组件。利用时变参数向量自回归Diebold-Yilmaz模型，探讨了TPU与航运风险的溢出效应以及商品市场收益的连通性。研究结果显示，共同波动率的连通性最高，其次是实现波动率，而特质波动率的连通性最低。TPU对各类波动性具有显著的净溢出效应。然而，航运风险仅对特殊波动率具有显著的净溢出效应。我们还证明了TPU直接影响商品市场的实现波动率和共同波动率。相比之下，对于特殊波动率，TPU通过运输风险间接影响商品市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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