Cheng Sheng, Liu Wei, Jiang Qisheng, Cao Yan
No.68 Jincheng Street, East Lake High-tech Development Zone, Wuhan, 430074 Hubei People's Republic of China School of Economics and Management, China University of Geosciences.
Wuhan, 430074 People's Republic of China Soft Science Research Center for Regional Innovation Capability Monitoring and Analysis, China University of Geosciences.
Comput Econ. 2023;61(4):1593-1616. doi: 10.1007/s10614-022-10254-6. Epub 2022 Apr 15.
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.
本文以2000年1月至2021年7月的月度数据为样本，在时域和频域中研究了中国不同类型的经济政策不确定性（EPU）与全球油价之间的风险关联关系。为此，建立了一个主要由小波变换方法和溢出指数方法组成的研究框架。结果表明，在大多数情况下，中国的EPU受到全球油价的风险溢出。此外，我们发现财政政策不确定性和贸易政策不确定性在大多数时间尺度上通常是风险溢出的接受者，货币政策不确定性主要作为风险传递者除外。最后，汇率政策不确定性在中国四种EPU中的风险作用变化最为频繁。本文为能源市场的政策制定者、投资者和风险管理者提供了有价值的政策启示。
