Do pandemic, trade policy and world uncertainties affect oil price returns?Show others and affiliations
2022 (English)In: Resources policy, ISSN 0301-4207, E-ISSN 1873-7641, Vol. 77, article id 102705Article in journal (Refereed) Published
Abstract [en]
We investigate the influence of pandemic and trade policy uncertainty on the dynamics of oil price returns over the two last decades, using a Mixed-Frequency Vector Autoregressive (MF-VAR) model. We find that pandemic uncertainty and, more importantly, trade policy uncertainty significantly explain EU Brent and WTI oil price returns. Additionally, pandemic and trade policy uncertainty shocks are linked with lower (higher) oil price returns in the short-term (medium-term). Finally, while our mixed-frequency approach captures the persistent response of oil price returns to the uncertainty shocks, the single common-frequency (i.e., quarterly) framework only uncovers a muted reaction.
Place, publisher, year, edition, pages
ELSEVIER SCI LTD , 2022. Vol. 77, article id 102705
Keywords [en]
Oil price fluctuations; Pandemic uncertainty; Trade policy uncertainty; And world uncertainty; Mixed-frequency VAR model; Mixed-frequency granger-causality test
National Category
Peace and Conflict Studies Other Social Sciences not elsewhere specified
Identifiers
URN: urn:nbn:se:liu:diva-186133DOI: 10.1016/j.resourpol.2022.102705ISI: 000806832800006OAI: oai:DiVA.org:liu-186133DiVA, id: diva2:1673501
Note
Funding Agencies|FCT - Portuguese Foundation for Science and Technology [UIDB/ECO/03182/2020]
2022-06-212022-06-212025-02-20