This paper explores dynamic interactions and connectedness between inflation, commodities, and economic and monetary policy uncertainty during various market phases between 1985 and 2022, developing upon the innovative quantile-VAR methodology. Results reveal that inflation exhibits strong interlinkages with money supply, as would be expected, along with the price of gold during periods of low-price levels, while presenting a strong positive relationship with both oil valuations and the money supply during periods representative of moderate or average pricing behaviour. Moreover, inflation is identified to be a receiver of direct influence and broad connectedness, especially during the Global Financial Crisis and during episodes of US-based quantitative easing programmes, while exhibiting even more pronounced effects during the COVID-19 pandemic. Money supply is identified to be the most receptive to overall external influence from the selected variables. Furthermore, economic policy uncertainty is identified as the strongest source of influence, with effects surpassing that of monetary policy uncertainty. Market risk is identified to possess the strongest effects at the highest quantiles. This study provides insight into the interconnectedness of the real economy and financial markets across various economic conditions.

中文翻译：

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检查商品、通货膨胀和不确定性之间的溢出和关联性：分位数 VAR 框架

本文基于创新的分位数 VAR 方法，探讨了 1985 年至 2022 年各个市场阶段期间通货膨胀、大宗商品以及经济和货币政策不确定性之间的动态相互作用和关联性。结果显示，正如预期的那样，通货膨胀与货币供应量以及低价格水平时期的黄金价格表现出很强的相互联系，而在中等或中等水平时期，通货膨胀与石油估值和货币供应量呈现出强烈的正相关关系。平均定价行为。此外，通货膨胀被认为是直接影响和广泛联系的接收者，特别是在全球金融危机期间和美国量化宽松计划期间，而在 COVID-19 大流行期间表现出更明显的影响。货币供应量被认为最容易受到所选变量的总体外部影响。此外，经济政策不确定性被认为是最强的影响源，其影响超过了货币政策不确定性。市场风险被认为在最高分位数具有最强的影响。这项研究深入了解了不同经济条件下实体经济和金融市场的相互联系。