Does economic policy uncertainty drive commodity-equity connectedness in BRIC markets?

We find strong evidence of causality between EPU and the shock transmission from oil (gold) to BRIC stock market returns. This causal effect appears to be non-linear, captured by the ANN and Taylor-based models. However, EPU’s causal effect was not found for the shocks transmitted from BRIC stock markets to oil (gold). As measured by the Granger causality test, the linear causal effect was not present in our case. Overall, our study reveals that EPU drives the shock transmission from oil (gold) to BRIC stock market returns in a non-linear fashion. This is an important finding which can help investors and policymakers devise portfolio strategies and financial stability policies, respectively.