The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches

•We document risk spillover relationship between CNEPU and commodity futures.•We explore it in different frequency domain and quantiles.•The risk spillover relationship mainly occurs in the short term.•CNEPU is more closely related to the commodity market during the boom and downturn.•The economic crisis has reinforced asymmetric risk spillovers. Based on the frequency spillover method extended by Baruník and Křehlík (2018), we explore the risk spillover relationship between China’s economic policy uncertainty (CNEPU) and commodity futures in different frequency domains with daily settlement price data of 14 commodity futures in China. The results show that the risk spillover relationship between CNEPU and the commodity market mainly occurs in the short term. Quantile connectedness results show that economic policy uncertainty, which mainly plays the role of risk transmitter, is more closely related to the commodity market during the market boom and recession. Soybeans, soybean meal, and corn have shown high investment value in the process of market recovery, which is exposed to less risk spillover from policy uncertainty. Finally, the economic crisis with different characteristics will have specific impacts on asymmetric risk spillovers based on certain impact mechanisms.