Asymmetric effects of market uncertainties on agricultural commodities
研究原油、市场波动、情绪、经济政策不确定性和地缘政治风险对十种农产品的非对称影响，发现原油不能作为避险资产，而波动率和情绪指数可对冲农产品冲击，农产品对经济政策不确定性仅具弱对冲能力，但能对冲地缘政治下行风险。
The interplay between energy and agricultural commodities and responses of agricultural commodities to global uncertainty factors have been receiving increasing attention due to the pivotal contributions of commodity markets to the world economy. This study investigates the asymmetric effects of oil, market volatility and sentiment, economic policy uncertainty, and geopolitical risk on agricultural commodities in a nonparametric quantile-on-quantile regression framework. The sample used for empirical analysis spans from January 03, 2013, to October 21, 2022 and includes ten agricultural commodities (canola, cocoa, coffee, corn, feeder cattle, lean hogs, live cattle, orange juice, sugar, and wheat), crude oil, crude oil implied volatility (OVX), market sentiment (VIX), economic policy uncertainty of the US (USEPU), and geopolitical risk (GPR). The empirical findings suggest that crude oil fails to serve as either a hedge or safe-haven for agricultural commodities. Meanwhile, OVX and VIX serve as potential hedges against agricultural commodity shocks. At elevated levels of USEPU, agricultural commodities reveal only weak hedging capacities against the USEPU-driven downside risks and mostly act just as diversifiers of economic policy uncertainty effects. However, they could hedge against the crystallisations of the downside geopolitical risks. These findings are important for effective regulation policies, risk management, and portfolio decisions across bullish, bearish, and normal market conditions.