【摘要】 构建分位数-分位数回归模型,依据1987年6月至2020年10月数据,考量经济政策不确定性对原油市场收益的异质性影响。结果表明:经济政策不确定性对原油市场收益在大多数分位点具有抑制效应,且这种影响在原油市场低迷时更加明显。在三类细分经济政策不确定性冲击中,货币政策不确定性和贸易政策不确定性对原油收益的影响在原油市场繁荣时占主导地位,而原油市场处于低迷状态时对财政政策不确定性的变化更加敏感。此外,经济政策不确定性对原油市场收益的影响程度在金融危机爆发后明显增强。鉴此,原油市场利益相关者在金融危机期间应对经济政策不确定的变化应更加谨慎。更多还原

【Abstract】 Based on the data from June 1987 to October 2020, this paper constructs the quantile-on-quantile regression model to explore the heterogeneous impact of economic policy uncertainty on crude oil market returns. The results show that economic policy uncertainty has inhibitory effect on crude oil market returns across most quantiles, and this effect is increased during the downturn of crude oil market. Among the three types of subdivided economic policy uncertainty shocks, the impacts of monetary policy uncertainty and trade policy uncertainty on crude oil market returns are dominant when the crude oil market is booming, while the crude oil market is more sensitive to the changes of fiscal policy uncertainty when the crude oil market is in a depression state. In addition, The degree of the influence of economic policy uncertainty has increased significantly after the outbreak of the financial crisis. In view of this, the stakeholders in the crude oil market are more cautious in dealing with changes in economic policy uncertainty during the crisis.更多还原