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

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 cr...