Baltic dry index and global economic policy uncertainty: evidence from the linear and nonlinear Granger causality tests

References

• Baker, S. R., N. Bloom, and S. J. Davis, 2013. Measuring Economic Policy Uncertainty. Chicago Booth research paper, No. 13–02.
   Google Scholar
• Bakshi, G., G. Panayotov, and G. Skoulakis. 2011. “The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity.” (January 26, 2011). AFA 2012 Chicago Meetings Paper, Available at SSRN: https://ssrn.com/abstract=1787757 or http://dx.doi.org/10.2139/ssrn.1787757
   Google Scholar
• Bekiros, S. D., and C. Diks. 2008. “The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear, and Nonlinear Causality.” Energy Economics 30: 2673–2685. doi:10.1016/j.eneco.2008.03.006.
   Web of Science ®Google Scholar
• Bhattarai, K., S. K. Mallick, and B. Yang. 2021. “Are Global Spillovers Complementary or Competitive? Need for International Policy Coordination.” Journal of International Money and Finance 110: 102291. doi:10.1016/j.jimonfin.2020.102291.
   Web of Science ®Google Scholar
• Christou, C., and R. Gupta. 2020. “Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty.” The Quarterly Review of Economics and Finance 76: 243–248. doi:10.1016/j.qref.2019.08.001.
   Web of Science ®Google Scholar
• Davis, S. J., 2016. “An Index of Global Economic Policy Uncertainty.” NBER Working Paper. No. 22740.
   Google Scholar
• Diks, C., and V. Panchenko. 2006. “A New Statistic and Practical Guidelines for Nonparametric Granger Causality Testing.” Journal of Economic Dynamics and Control 30: 1647–1669. doi:10.1016/j.jedc.2005.08.008.
   Web of Science ®Google Scholar
• Geman, H., and W. O. Smith. 2012. “Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index.” The Journal of Alternative Investments 15: 98–109. doi:10.3905/jai.2012.15.1.098.
   Google Scholar
• Goodell, J. W., R. J. Mcgee, and F. Mcgroarty. 2020. “Election Uncertainty, Economic Policy Uncertainty and Financial Market Uncertainty: A Prediction Market Analysis.” Journal of Banking and Finance 110: 1–15. doi:10.1016/j.jbankfin.2019.105684.
   Web of Science ®Google Scholar
• Hailemariam, A., R. Smyth, and X. Zhang. 2019. “Oil Prices and Economic Policy Uncertainty: Evidence from a Nonparametric Panel Data Model.” Energy Economics 83: 40–51. doi:10.1016/j.eneco.2019.06.010.
   Web of Science ®Google Scholar
• Karnizova, L., and J. Li. 2014. “Economic Policy Uncertainty, Financial Markets and Probability of US Recessions.” Economics Letters 125: 261–265. doi:10.1016/j.econlet.2014.09.018.
   Web of Science ®Google Scholar
• Ko, J. H., and C. M. Lee. 2015. “International Economic Policy Uncertainty and Stock Prices: Wavelet Approach.” Economics Letters 134: 118–122. doi:10.1016/j.econlet.2015.07.012.
   Web of Science ®Google Scholar
• Li, X.-M., B. Zhang, and R. Gao. 2015. “Economic Policy Uncertainty Shocks and Stock–bond Correlations: Evidence from the US Market.” Economics Letters 132: 91–96. doi:10.1016/j.econlet.2015.04.013.
   Web of Science ®Google Scholar
• Lin, F., and N. Sim. 2013. “Trade, Income and the Baltic Dry Index.” European Economic Review 59: 1–18. doi:10.1016/j.euroecorev.2012.12.004.
   Web of Science ®Google Scholar
• Lin, F., and N. Sim. 2014. “Baltic Dry Index and the Democratic Window of Opportunity.” Journal of Comparative Economics 42: 143–159. doi:10.1016/j.jce.2013.10.002.
   Web of Science ®Google Scholar
• Lin, F., and N. Sim. 2015. “Exports, HIV Incidence and the Baltic Dry Index: Further Evidence from sub-Saharan Africa.” Economics Letters 126: 35–39. doi:10.1016/j.econlet.2014.11.003.
   Web of Science ®Google Scholar
• Liow, K. H., W. Liao, and Y. Huang. 2018. “Dynamics of International Spillovers and Interaction: Evidence from Financial Market Stress and Economic Policy Uncertainty.” Economic Modelling 68: 96–116. doi:10.1016/j.econmod.2017.06.012.
   Web of Science ®Google Scholar
• Liu, L., and T. Zhang. 2015. “Economic Policy Uncertainty and Stock Market Volatility.” Finance Research Letters 15: 99–105. doi:10.1016/j.frl.2015.08.009.
   Web of Science ®Google Scholar
• Lyu, Y., S. Tuo, Y. Wei, and M. Yang. 2021. “Time-varying Effects of Global Economic Policy Uncertainty Shocks on Crude Oil Price Volatility: New Evidence.” Resources Policy 70: 101943. doi:10.1016/j.resourpol.2020.101943.
   Web of Science ®Google Scholar
• Mei, D., Q. Zeng, Y. Zhang, and W. Hou. 2018. “Does US Economic Policy Uncertainty Matter for European Stock Markets Volatility?” Physica A: Statistical Mechanics and Its Applications 512: 215–221. doi:10.1016/j.physa.2018.08.019.
   Web of Science ®Google Scholar
• Ostry, J. D., and A. R. Ghosh. 2016. “On the Obstacles to International Policy Coordination.” Journal of International Money and Finance 67: 25–40. doi:10.1016/j.jimonfin.2015.06.008.
   Web of Science ®Google Scholar
• Ruan, Q., Y. Wang, X. Lu, and J. Qin. 2016. “Cross-correlations between Baltic Dry Index and Crude Oil Prices.” Physica A: Statistical Mechanics and Its Applications 453: 278–289. doi:10.1016/j.physa.2016.02.018.
   Web of Science ®Google Scholar
• Swanson, N. R. 1998. “Money and Output Viewed through a Rolling Window.” Journal of Monetary Economics 41: 455–474. doi:10.1016/S0304-3932(98)00005-1.
   Web of Science ®Google Scholar
• Wang, Y., and C. Wu. 2012. “Energy Prices and Exchange Rates of the U.S. Dollar: Further Evidence from Linear and Nonlinear Causality Analysis.” Economic Modelling 29: 2289–2297. doi:10.1016/j.econmod.2012.07.005.
   Web of Science ®Google Scholar
• Xiong, X., Y. Bian, and D. Shen. 2018. “The Time-varying Correlation between Policy Uncertainty and Stock Returns: Evidence from China.” Physica A: Statistical Mechanics and Its Applications 499: 413–419. doi:10.1016/j.physa.2018.02.034.
   Web of Science ®Google Scholar
• Yu, H., L. Fang, and W. Sun. 2018. “Forecasting Performance of Global Economic Policy Uncertainty for Volatility of Chinese Stock Market.” Physica A: Statistical Mechanics and Its Applications 505: 931–940. doi:10.1016/j.physa.2018.03.083.
   Web of Science ®Google Scholar
• Yu, M., and J. Song. 2018. “Volatility Forecasting: Global Economic Policy Uncertainty and Regime Switching.” Physica A: Statistical Mechanics and Its Applications 511: 316–323. doi:10.1016/j.physa.2018.07.056.
   Web of Science ®Google Scholar
• Zhang, Y. J., and Y. M. Wei. 2010. “The Crude Oil Market and the Gold Market: Evidence for Cointegration, Causality and Price Discovery.” Resources Policy 35: 168–177. doi:10.1016/j.resourpol.2010.05.003.
   Web of Science ®Google Scholar