Economic Policy Uncertainty On Commodity Futures Markets Effects Of Returns And Volatility

As the global economic environment becomes increasingly complex,economic uncertainty increases when the government makes policy measures based on the domestic and international economic situation and market changes,which has an impact on financial markets that cannot be ignored.Commodity futures markets are an important part of the financial market and play a positive role in regulating market supply and demand,mitigating price fluctuations and serving the real economy.Therefore,it is necessary to systematically study the spillover effect of economic policy uncertainty on commodity futures market.First of all,from the monetary policy,fiscal policy and exchange rate policy three perspective,to clarify the economic policy uncertainty on the influence mechanism of commodity futures market in China,and from the real options,financial frictions,Oi-Hartman-three of Abel effect,further analysis of economic policy uncertainty affect yield change of commodity futures market transmission mechanism in our country.Secondly,EPU index and Nanhua Commodity Index are selected to measure the economic policy uncertainty and the returns of commodity futures market,and the v AR-Garch-Bekk model is constructed to study the impact of China’s economic policy uncertainty on the returns and volatility of commodity futures market.VAR model is constructed,and impulse response function and variance decomposition are used to analyze the impact of economic policy uncertainty on the return rate of commodity futures market in China.The empirical results show that there is mean spillover of economic policy uncertainty on the return rate of commodity futures market in China.The Gar CH-Bekk model was constructed and the WALD joint test was used to explore the volatility spillover effect between the two.The research found that the uncertainty of economic policy had volatility spillover effect on China’s commodity futures market.Finally,on this basis,empirical tests are carried out on three sub-commodity futures markets of agricultural products,energy and chemicals,and metals respectively to explore the impact of economic policy uncertainty on sub-commodity futures markets.