Asymmetric Multifractal Cross-Correlations Between Economic Policy Uncertainty and Agricultural Futures Prices

• Published in: Fluctuation and noise letters Vol. 21; no. 4
• Main Authors: Feng, You-Shuai, Li, Yang, Cao, Bao-Ming
• Format: Journal Article
• Language: English
• Published: Singapore World Scientific Publishing Company 01.08.2022; World Scientific Publishing Co. Pte., Ltd
• Subjects: Asymmetry; Corn; Correlation analysis; Cross correlation; Economic policy; Prices; Soybean oil; Soybeans; Uncertainty; United States > US; China; agricultural futures; multifractality; asymmetric cross-correlation; Economic policy uncertainty
• ISSN: 0219-4775; 1793-6780
• DOI: 10.1142/S0219477522500353

This paper investigates the fluctuation characteristics and asymmetry of cross-correlations between economic policy uncertainty (EPU) and agricultural futures prices in China and the US by using the multifractal detrended cross-correlation analysis (MF-X-DFA) and multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA). We find that the multifractal cross-correlations exist between EPU and agricultural futures prices, and the cross-correlations are anti-persistent and asymmetric. The anti-persistent cross-correlations in China are all stronger than those in the US. The multifractal degree of cross-correlation between EPU and soybean futures price is lower in China than in the US, while the multifractal degree of cross-correlation between EPU and soybean meal, soybean oil or corn futures price is higher in China than in the US. Moreover, China’s soybean futures price is more susceptible to the upward and downward trends in China’s EPU, while the US soybean meal, soybean oil, and corn futures prices are more susceptible to them in the US EPU.