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The asymmetric impact of global economic policy uncertainty on international grain prices

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  • Long, Shaobo
  • Li, Jieyu
  • Luo, Tianyuan

Abstract

Using monthly data from January 1998 to May 2021, this study investigates the asymmetric impact of global economic policy uncertainty (GEPU) on international grain prices by using nonlinear autoregressive distribution lag (NARDL). We find that there is a positive, asymmetric relationship between GEPU and international grain prices. Specifically, GEPU has a greater negative than positive impact on wheat and maize prices, and the positive impact on soybean price is more pronounced than the negative one. We have also observed that the asymmetric impact of GEPU on rice price is not significant in the long run. The findings have important implications to formulate targeted and differentiated international grain price regulatory policies.

Suggested Citation

  • Long, Shaobo & Li, Jieyu & Luo, Tianyuan, 2023. "The asymmetric impact of global economic policy uncertainty on international grain prices," Journal of Commodity Markets, Elsevier, vol. 30(C).
    • Handle: RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000307
    DOI: 10.1016/j.jcomm.2022.100273
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    2. Nicole Branger & Michael Hanke & Alex Weissensteiner, 2024. "The information content of wheat derivatives regarding the Ukrainian war," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 420-431, March.

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    More about this item

    Keywords

    NARDL; Global economic policy uncertainty; International grain prices; Asymmetric effect;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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