국가 경제정책 불확실성이 국제 원자재 가격에 미치는 영향: 한국·미국·일본을 중심으로

The Impact of Economic Policy Uncertainty on Commodity Price in Korea, the U.S. and Japan

The main purpose of this study is to analyze the impact of economic policy uncertainty of Korea, the US, and Japan on commodity price. We study its effect on the producer price of three countries due to the variation of commodity price using the vector error correction model. The variables are used to analyze the dynamic relationship which occurs among an economic policy uncertainty index, the commodity price such as international crude oil, gold, coffee price, and production price index from January 1990 to April 2016. Major findings reveal that the economic policy uncertainty index in Korea and Japan has similar results that are related negatively to the crude oil price, but positively related to the coffee and gold prices. On the other hand, the U.S. economic policy uncertainty index was related negatively to all three commodity prices, and the economic policy uncertainty index was related negatively to the production price index for all three countries due to the negative impact of crude oil price relative to high proportion of commodities. In the end, we find that the economic policy uncertainty index has a great impact on commodity price and producer price index.