School of Finance, Central University of Finance and Economics, Beijing, 100081, China.
Business School, Central University of Finance and Economics, Beijing, 100081, China.
Environ Sci Pollut Res Int. 2022 Aug;29(40):60662-60673. doi: 10.1007/s11356-022-19328-2. Epub 2022 Apr 15.
As a consequence of the COVID-19 pandemic outbreak, most commodities experienced significant price drops, which were expected to continue well into 2020. As a result, the Markov switching model is used to study the influence of policy uncertainty and the COVID-19 pandemic on commodity prices in the USA. Commodity markets are stimulated by economic policy uncertainty, according to results from a two-state Markov switching model. In both high and low regimes, economic policy uncertainty (EPU) influences the commodity market, according to the study's findings. However, in the high regime, EPU has a greater influence on the energy and metal sectors. EPU has different influences on commodity markets in high- and low-volatility regimes, according to this study. There is a wide range of correlations between COVID-19 outcomes and EPU and how the prices of natural gas, oil, corn, silver, soybean, copper, gold, and steel respond to these tremors, in both high- and low-volatility tenure. Oil and natural gas, on the other hand, are unaffected by shifts in COVID-19 death rates under either regime. Results show that in both high- and low-volatility regimes, the demand and supply for most commodities are responsive to historical prices.
由于 COVID-19 大流行的爆发，大多数商品的价格都经历了大幅下跌，预计这种情况将持续到 2020 年。因此，采用马尔可夫转换模型来研究政策不确定性和 COVID-19 大流行对美国商品价格的影响。结果表明，经济政策不确定性会刺激商品市场。根据两状态马尔可夫转换模型的结果，经济政策不确定性（EPU）在高、低两种情况下都影响商品市场。然而，在高经济政策不确定性时期，EPU 对能源和金属行业的影响更大。根据这项研究，EPU 在高波动和低波动时期对商品市场的影响是不同的。COVID-19 结果和 EPU 与天然气、石油、玉米、银、大豆、铜、金和钢的价格如何对这些波动做出反应之间存在广泛的相关性，无论是在高波动还是低波动时期都是如此。另一方面，在任何一种情况下，COVID-19 死亡率的变化都不会影响石油和天然气。结果表明，在高波动和低波动时期，大多数商品的供需对历史价格都有反应。
