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dc.contributor.authorApergis, Nicholas
dc.contributor.authorHayat, Tasawar
dc.contributor.authorSaeed, Tareq
dc.date.accessioned2021-04-15T10:40:46Z
dc.date.available2021-04-15T10:40:46Z
dc.date.issued2021
dc.identifier.citationApergis, N., Hayat, T., and Saeed, T. (2020). 'US economic policy uncertainty spillovers to commodity returns: fresh evidence through Granger causality in quantiles'. Economic Notes. (In press).en_US
dc.identifier.urihttp://hdl.handle.net/10545/625707
dc.description.abstractGiven the importance of U.S. in global commodity markets, the goal is to explore whether US economic policy uncertainty impacts the price performance of certain commodities. The analysis uses the Granger causality in quantiles method that allows us to test whether there are different effects under different market conditions. The results document that economic uncertainty impacts the returns on the commodities considered, with the effects clustering around the tail of their conditional distribution. Robust evidence was obtained under an alternative definition of uncertainty.en_US
dc.description.sponsorshipN/Aen_US
dc.language.isoenen_US
dc.publisherWileyen_US
dc.relation.urlhttps://onlinelibrary.wiley.com/journal/14680300en_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectResearch Subject Categories::SOCIAL SCIENCESen_US
dc.subjectglobal economic marketsen_US
dc.titleUS economic policy uncertainty spillovers to commodity returns: fresh evidence through Granger causality in quantilesen_US
dc.typeArticleen_US
dc.identifier.eissn1468-0300
dc.contributor.departmentUniversity of Derbyen_US
dc.contributor.departmentKing Abdulaziz Universityen_US
dc.identifier.journalEconomic Notesen_US
dcterms.dateAccepted2020-09-18
dc.author.detail786373en_US


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