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The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
European University Institute, Florence, Italy; IPAG Business School, Paris, France.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.ORCID iD: 0000-0002-1798-8284
2018 (English)In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, Vol. 495, no April, p. 30-39Article in journal (Refereed) Published
Abstract [en]

The global financial crisis and the subsequent geopolitical turbulence in energy markets have brought increased attention to the proper statistical modeling especially of the crude oil markets. In particular, we utilize a time–frequency decomposition approach based on wavelet analysis to explore the inherent dynamics and the casual interrelationships between various types of geopolitical, economic and financial uncertainty indices and oil markets. Via the introduction of a mixed discrete-continuous multiresolution analysis, we employ the entropic criterion for the selection of the optimal decomposition level of a MODWT as well as the continuous-time coherency and phase measures for the detection of business cycle (a)synchronization. Overall, a strong heterogeneity in the revealed interrelationships is detected over time and across scales.

Place, publisher, year, edition, pages
Elsevier, 2018. Vol. 495, no April, p. 30-39
Keyword [en]
Uncertainty measurement; Energy markets; Multiscale analysis; Phase difference; Entropy
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-144174DOI: 10.1016/j.physa.2017.12.025ISI: 000424958600003OAI: oai:DiVA.org:liu-144174DiVA, id: diva2:1171651
Available from: 2018-01-08 Created: 2018-01-08 Last updated: 2018-04-03Bibliographically approved

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  • Other style
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Language
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  • en-US
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  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • asciidoc
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