Panel Quantile Regression Analysis On The Impact Of Crude Oil Price And Economic Policy Uncertainty On Commodity Futures Market

With the rapid development of China's economy,the bulk commodity as an important factor of production has become more and more important in China.It has become a primary commodity related to the national economy and people's livelihood,and plays an important role on China's economic development.Its price fluctuations are concerned by all circles of society.As the most influential raw materials and basic energy,crude oil plays a vital role on the development of modern economy.China is a major oil-consuming country dominated by imported crude oil,and its dependence on imported crude oil is quite high.With China's fast-growing crude oil consumption and dependence on imported crude oil,fluctuations in crude oil prices will inevitably affect China's energy market and economic development,and such fluctuations can be transferred to the bulk commodity market.Aiming at the impact of crude oil price and economic policy uncertainty on China's commodity market in different market environments,based on the quantile regression theory framework,comprehensive application of IPS unit root test of panel data,Wald test,robustness test and so on,we establish a quantile regression model of panel data for research.Firstly,the effects of positive and negative crude oil price shocks,economic policy uncertainty,and macroeconomic factors on the returns of commodity markets under different conditional points are studied,which is more comprehensive under the use of quantile regression models and results of parameter estimation are more robust.Moreover,the Wald test is used to explore the symmetry of the effects of various factors.In addition,by sub-samples to compare the differences between the effects before and after the financial crisis,the asymmetric effects of positive and negative oil price shocks on China's commodity returns are analyzed.Finally,the robustness of the model results is analyzed.The results show that there is an asymmetric effect on the impact of crude oil price shock on China's commodity market returns.This asymmetry is manifested in the influence at different quantile levels and the difference between positive and negative oil price shock effects.The impact of economic policy uncertainty on commodity markets is heterogeneous in different market environments.This effect is negative at low quintiles and positive at other quintiles.WTI Crude Oil and Brent Crude Oil have different effects on the commodity market.In the case of a promising market environment,the rise in Brent crude oil prices will have a significant impacton the commodity market.Before and after the crisis,there was an asymmetric effect of the impact of crude oil price shocks and economic policy uncertainty on commodity markets.