战略商品价格是否回应美国党派 冲突？

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摘要翻译：
近年来美国政治的一个值得注意的特点是严重的党派冲突，导致两极分化加剧，加剧了政策的高度不确定性。美国是石油和黄金市场的重要参与者。石油和黄金也是美国重要战略储备的基础。我们使用分位数的Granger因果关系的参数检验来研究美国党派冲突是否影响石油和黄金的回报和价格波动。实证结果表明，美国的党派冲突对石油和黄金的收益有影响，并且这种影响集中在收益条件分布的尾部。更具体地说，当原油市场处于看跌状态（更低分位数）时，党派冲突主要影响石油回报。相比之下，只有当黄金市场处于看涨情景（更高的分位数）时，党派冲突才会对黄金回报产生影响。此外，对于石油和黄金的波动性而言，党派冲突指数的可预测性实质上涵盖了波动性的整个分布。
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英文标题：
《Does the price of strategic commodities respond to U.S. Partisan
  Conflict?》
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作者：
Yong Jiang, Yi-Shuai Ren, Chao-Qun Ma, Jiang-Long Liu, Basil Sharp
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

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英文摘要：
  A noteworthy feature of U.S. politics in recent years is serious partisan conflict, which has led to intensifying polarization and exacerbating high policy uncertainty. The US is a significant player in oil and gold markets. Oil and gold also form the basis of important strategic reserves in the US. We investigate whether U.S. partisan conflict affects the returns and price volatility of oil and gold using a parametric test of Granger causality in quantiles. The empirical results suggest that U.S. partisan conflict has an effect on the returns of oil and gold, and the effects are concentrated at the tail of the conditional distribution of returns. More specifically, the partisan conflict mainly affects oil returns when the crude oil market is in a bearish state (lower quantiles). By contrast, partisan conflict matters for gold returns only when the gold market is in a bullish scenario (higher quantiles). In addition, for the volatility of oil and gold, the predictability of partisan conflict index virtually covers the entire distribution of volatility.
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PDF链接：
https://arxiv.org/pdf/1810.08396

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关键词：商品价格 distribution Contribution Quantitative Polarization gold partisan 冲突 市场 波动性