Trade policy uncertainty, shipping risk, and commodity markets

IF 7.4 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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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance