The Frontiers of Society, Science and Technology, 2019, 1(10); doi: 10.25236/FSST.2019.011004.
Jintao Wang, Yijin Zheng
Qingdao University, China
This paper applies TVP-VAR-based connectedness approach proposed by Antonakakis and Gabauer (2017) to identify and analysis the relationship between EPU and grain prices in seven countries over the period 2003:01-2019:02. The results of estimation suggest total connectedness index in the seven countries are time-varying and presented a significant spike during the Great Depression. Furthermore, any variables can be the net transmitter or net recipient of the spillover shock depending on the time period and grain trade situation. These results are important for policy makers, as well as, investors interested in the grain trade market.
Economic policy uncertainty; Grain prices; Dynamic spillover; TVP-VAR model; Connectedness decomposition
Jintao Wang, Yijin Zheng. Economic policy uncertainty and grain prices volatility. The Frontiers of Society, Science and Technology (2019) Vol. 1 Issue 10: 37-64. https://doi.org/10.25236/FSST.2019.011004.
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