Baltic dry index and global economic policy uncertainty: evidence from the linear and nonlinear Granger causality tests

Abstract

This study investigates the linear and nonlinear Granger causality relationship between the Baltic Dry Index (BDI) and global economic policy uncertainty (GEPU). There is a unidirectional linear Granger causality relationship running from GEPU to the BDI and no nonlinear Granger causality relationship between the BDI and GEPU. Hence, the Granger causality running from GEPU to the BDI is relatively direct, concise and swift but not very complicated. The linear Granger causality relationship between them is time-varying.