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Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis

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  • Yuan, Di
  • Li, Sufang
  • Li, Rong
  • Zhang, Feipeng

Abstract

This paper investigates the relationship between EPU, oil and stock markets in the BRIC countries under different market conditions. The multivariate quantile VAR approach is used to analyze the possible asymmetric linkage across the entire distribution rather than only on the conditional mean. The empirical results show that, when the Brent oil market is prosperous, EPU in China and India has a negative impact on the oil returns, whereas EPU in Russia and Brazil has a positive effect. Generally, BRIC's EPU has a reverse effect on the stock markets. The economic policies of China and Russia are more vulnerable to fluctuations in oil and stock markets. The BRIC's stock markets are more affected by negative oil returns, whereas the oil markets are more affected by positive stock returns.

Suggested Citation

  • Yuan, Di & Li, Sufang & Li, Rong & Zhang, Feipeng, 2022. "Economic policy uncertainty, oil and stock markets in BRIC: Evidence from quantiles analysis," Energy Economics, Elsevier, vol. 110(C).
    • Handle: RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001487
    DOI: 10.1016/j.eneco.2022.105972
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    More about this item

    Keywords

    EPU; Oil market; Stock market; Quantile VAR; granger causality tests;
    All these keywords.

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • P13 - Political Economy and Comparative Economic Systems - - Capitalist Economies - - - Cooperative Enterprises

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