Natural resources and sustainable development: Evidence from the dynamic correlation between crude oil and gold market

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

International Review of Economics & Finance Pub Date : 2024-10-01 DOI:10.1016/j.iref.2024.103665

Xincheng Zhang , Shaojiang Wu

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引用次数: 0

Abstract

Amidst the uncertainty in markets spurred by globalization and technological advancements, the volatility of the crude oil and gold markets, which are emblematic of natural resource markets (NRMs), profoundly impacts global economic sustainability. This study innovatively quantifies and contrasts the impact of macroeconomic uncertainty factors on the volatility and dynamic correlation of these pivotal NRMs by extending the GJR-GARCH-MIDAS-X and DCC-MIDAS-RC-X models grounded in global economic policy uncertainty (GEPU), trade policy uncertainty (TPU), monetary policy uncertainty (MPU), and geopolitical risk (GPR). Concurrently, employing principal component analysis (PCA) blends numerous uncertainty factors, heightening the models’ explanatory capacity and predictive precision. Empirical findings suggest that all uncertainty factors exert significant positive effects on both crude oil and gold volatility, albeit with heterogeneity. Furthermore, the correlation between crude oil and gold fluctuates over time under the influence of uncertainty factors. Additionally, this study revealed asymmetric effects on realized volatility between the two NRMs. This research not only provides novel theoretical insights and empirical evidence concerning the intricate dynamic interplay between the two NRMs, but also has significant ramifications for policymakers, market regulators, and investors in crafting effective strategies and decisions amidst market uncertainty.

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自然资源与可持续发展：原油与黄金市场动态相关性的证据

在全球化和技术进步带来的市场不确定性中，作为自然资源市场（NRMs）代表的原油和黄金市场的波动深刻影响着全球经济的可持续性。本研究通过扩展以全球经济政策不确定性（GEPU）、贸易政策不确定性（TPU）、货币政策不确定性（MPU）和地缘政治风险（GPR）为基础的 GJR-GARCH-MIDAS-X 和 DCC-MIDAS-RC-X 模型，创新性地量化和对比了宏观经济不确定性因素对这些关键自然资源市场的波动性和动态相关性的影响。同时，采用主成分分析法（PCA）混合了众多不确定性因素，提高了模型的解释能力和预测精度。实证研究结果表明，所有不确定性因素都对原油和黄金的波动性产生了显著的积极影响，尽管存在异质性。此外，在不确定性因素的影响下，原油和黄金之间的相关性随时间而波动。此外，本研究还揭示了两种非线性机制对已实现波动率的不对称影响。这项研究不仅为两种非线性机制之间错综复杂的动态相互作用提供了新颖的理论见解和经验证据，而且对政策制定者、市场监管者和投资者在市场不确定性中制定有效的战略和决策具有重要意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Economics & Finance Multiple-

CiteScore

7.30

自引率

2.20%

发文量

253

期刊介绍： The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.