This paper investigates the effect of economic policy uncertainty (EPU) on China’s agricultural and metal commodity futures returns across quantiles. We address this issue using the panel quantile regression approach, which allows for a more complete analysis of various conditions in the commodity market (i.e. bearish, normal, and bullish markets). Our empirical results reveal that domestic EPU shocks have a significantly negative effect on agricultural futures returns in bearish markets and a significantly positive effect on metal futures returns in bullish markets. The impacts of both domestic and U.S. EPU shocks on commodity markets are heterogeneous across quantiles and are sector specific. Additionally, by isolating positive and negative EPU shocks, the regression and test results indicate an asymmetric response of commodity futures prices in bullish markets. Moreover, our findings indicate that the metal futures market has a higher financialisation level than the agricultural futures market. The findings can be utilized by policymakers and investors.

The environmental impacts of foreign direct investment (FDI) and foreign trade have attracted much attention recently. This paper employs panel quantile regression to explore the effects of FDI and foreign trade on Chinese provincial CO₂ emissions for the period of 1997‐2014. The results indicate that the effect of FDI on CO₂ emissions is negative and significant except at the 5^th and 10^th quantiles. Foreign trade has a significant negative effect on CO₂ emissions at upper quantiles, and the degree of the effect increases gradually with the increase of CO₂ emissions. The results also suggest that the inverted U‐shaped environmental Kuznets curve (EKC) is valid only in the least and most polluted provinces. Nevertheless, the positive indirect effects of FDI and foreign trade on CO₂ emissions are greater than the negative direct effects; thus the total effects are positive. Finally, several policy implications are proposed for China based on the empirical results obtained.

The asymmetric effects of oil price shocks on stock returns have attracted the attention of many researchers in the past several decades. Most of these researchers’ studies, however, do not separate out the sources of oil price shocks when examining the asymmetric effects. In this article, we address this limitation using a two-stage Markov regime-switching approach. Our results indicate that oil supply and demand shocks have a null or minimal impact on stock returns in a low-volatility regime and a statistically significant impact in a high-volatility regime. We observe that oil demand shocks affect stock returns significantly more than oil supply shocks. A positive aggregate demand shock significantly increases stock returns, whereas a positive oil-specific demand shock markedly decreases stock returns. These results have important implications for policymakers and investors.