scholarly journals Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price

2020 ◽  
Vol 12 (16) ◽  
pp. 6662
Author(s):  
Ruixin Su ◽  
Jianguo Du ◽  
Fakhar Shahzad ◽  
Xingle Long
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
The United States ◽  
Oil Price ◽  
Var Model ◽  
Spot Price ◽  
Policy Uncertainty ◽  
Volatility Spillover ◽  
Crude Oil Price ◽  
The Us

Grounded in the Granger causality test, vector autoregression (VAR) model, and BEKK-GARCH model, our current study aims to examine the effect of mean and volatility spillover between the United States (US) economic policy uncertainty (EPU) and West Texas Intermediate (WTI) crude oil price. Using the US EPU monthly index and WTI spot price data from 1996 to 2019, we revealed that there is a one-way Granger causality link between the US EPU and spot price of WTI crude oil. The VAR model not only illustrated that there is a mean spillover effect between WTI oil price and US EPU, but they will also be affected by its memory, as well as the other’s past. At the same time, it also pointed out that this correlation has positive and negative directions. The BEKK-GARCH model test yielded similar conclusions to the VAR model and, importantly, proved a two-way volatility spillover effect between the US EPU and WTI spot price fluctuations. In conclusion, US economic policy has a substantial influence on the variation of global crude oil prices, as an essential strategic reserve resource and will also influence the government’s economic policy formulation. Understanding the association between WTI crude oil price and policy uncertainty not only helps investors to manage assets allocations and mitigate losses but also guides US policymakers to adjust the energy structure for economic sustainability.

scholarly journals Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation

2020 ◽  
Vol 12 (16) ◽  
pp. 6523 ◽  
Author(s):  
Yanhong Feng ◽  
Dilong Xu ◽  
Pierre Failler ◽  
Tinghui Li
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Price Volatility ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Crude Oil Price ◽  
Price Fluctuation ◽  
Economic Policy Uncertainty ◽  
Oil Price Fluctuation

Due to multiple properties, the international crude oil price is influenced by various and complex interrelated factors from different determinants in different periods. However, the previous studies on crude oil price fluctuation with economic policy uncertainty (EPU) haven’t taken a wider range of volatility sources into their analysis frameworks. In this paper, the time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is introduced in order to avoid important information loss, as well as capture the time-varying impact on crude oil price fluctuation by EPU. Furthermore, the differences on crude oil fluctuations from net-oil exporting and net-oil importing country’s EPU are also elaborated. Here are three findings as follows. First, the impacts of global EPU on the crude oil price volatility show time-varying characteristics both in time duration and time-points. Second, the instantaneous impacts of global EPU on the price volatility of crude oil are directly relevant to major events, and the impacts are different in event types as well. Third, the time-varying characteristics depicting the impacts of EPU in countries who are net-oil exporter and net-oil importer on price volatility of crude oil show heterogeneity in fluctuation range, fluctuation intensity, and stage.

Does crude oil price stimulate economic policy uncertainty in BRICS?

2021 ◽  
Vol 66 ◽  
pp. 101519 ◽  
Author(s):  
Chi-Wei Su ◽  
Shi-Wen Huang ◽  
Meng Qin ◽  
Muhammad Umar
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Crude Oil Price ◽  
Economic Policy Uncertainty

scholarly journals Do COVID-19 and crude oil prices drive the US economic policy uncertainty?

2020 ◽  
Vol 11 (1) ◽  
pp. 107-107
Author(s):  
Claudiu Tiberiu ALBULESCU
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Oil Prices ◽  
The United States ◽  
Positive Influence ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Distributed Lag ◽  
Crude Oil Prices ◽  
The Us

This paper investigates the effect of COVID-19 and crude oil prices on the United States (US) economic policy uncertainty (EPU), with a focus on the pre-pandemic phase of the sanitary crisis. Using daily data for the period January 21 – March 13, 2020, our Autoregressive Distributed Lag (ARDL) model shows that the new infection cases reported at global level, and the fatality ratio, have no significant effect on the US EPU during the first phase of the crisis, whereas the oil price negative dynamics leads to increased uncertainty. However, analysing the situation outside China, we discover that both new case announcements and the COVID-19 associated death ratio have a positive influence on the US EPU. Keywords: coronavirus; economic policy uncertainty; COVID-19; EPU; oil prices

The Co-Movements Between Crude Oil Price and Internet Concerns: Causality Analysis in the Frequency Domain

2020 ◽  
Vol 8 (3) ◽  
pp. 224-239
Author(s):  
Jingjing Li ◽  
Ling Tang ◽  
Ling Li
Keyword(s):  
Crude Oil ◽  
Test Method ◽  
Oil Price ◽  
Spot Price ◽  
Causality Analysis ◽  
Crude Oil Price ◽  
Causality Test ◽  
Low Frequencies ◽  
Oil Market

AbstractWith the boom of web technology, Internet concerns (IC) have become emerging drivers of crude oil price. This paper makes the first attempt to measure the frequency-varying co-movements between crude oil price and IC in five domains (i.e., fundamentals, supply-demand, crisis, war and weather) by using the frequency causality test method. Based on the monthly Brent spot price and search volumes (SVs) captured by Google Trends from January 2004 to September 2019, new and complementary insights regarding the co-movements between crude oil price and IC are obtained. 1) The co-movements between crude oil price and the IC of supply-demand, war, and weather support a neutral hypothesis at all frequencies due to the characteristics (low value or volatility) of these IC data. 2) There is a unidirectional causal relationship between crude oil price and the IC of fundamentals, running from the latter to the former at low frequencies (long-term). 3) There is a feedback relationship between crude oil price and the IC of crisis, with the IC of crisis driving crude oil price at medium and low frequencies (mid- and long-term) and crude oil price causing the IC of crisis to change permanently. The conclusions of this paper provide important implications for both oil market economists and investors.

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