Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective

Yang, Lu

doi:10.1016/j.eneco.2019.01.006

Cited by 136 publications

(53 citation statements)

References 39 publications

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“…Antonakakis et al, 2014;Kang et al, 2017) shows that oil price shocks impact the US EPU. A second set of studies underlines, on contrary, that US EPU dynamics triggers movements in international oil prices (Aloui et al, 2016;Yang, 2019).…”

Section: Introductionmentioning

confidence: 99%

Coronavirus and Oil Price Crash

2020

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Coronavirus (COVID-19) creates fear and uncertainty, hitting the global economy and amplifying the financial markets volatility. The oil price reaction to COVID-19 was gradually accommodated until March 09, 2020, when, 49 days after the release of the first coronavirus monitoring report by the World Health Organization (WHO), Saudi Arabia floods the market with oil. As a result, international prices drop with more than 20% in one single day. Against this background, the purpose of this paper is to investigate the impact of COVID-19 numbers on crude oil prices, while controlling for the impact of financial volatility and the United States (US) economic policy uncertainty. Our ARDL estimation shows that the COVID-19 daily reported cases of new infections have a marginal negative impact on the crude oil prices in the long run. Nevertheless, by amplifying the financial markets volatility, COVID-19 also has an indirect effect on the recent dynamics of crude oil prices.

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Section: Introductionmentioning

confidence: 99%

Coronavirus and Oil Price Crash

2020

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“…According to this study, an increase in oil price causes lower levels of uncertainty in economic policy (Hailemariam et al, 2019). According to Yang (2019), there are crude oil prices that increase EPU within the US in the long-term. According to this study, this particular relationship is directly affected by time scale changes, and it decreases with time (Yang, 2019).…”

Section: Literature Reviewmentioning

confidence: 87%

“…According to Yang (2019), there are crude oil prices that increase EPU within the US in the long-term. According to this study, this particular relationship is directly affected by time scale changes, and it decreases with time (Yang, 2019). This research considered the causal relationship between the intensification of oil price shocks and EPU.…”

Section: Literature Reviewmentioning

confidence: 99%

How Does Uncertainty in Economic Policy React to Oil Price Shocks in Australia?

Gregory

Kuang

2020

Journal of Accounting, Business and Finance Research

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After the financial crisis and during the recession, the concept of economic policy uncertainty (EPU) received a significant amount of attention from researchers and policymakers. The variations in the uncertainties of such policies have been found to have a strong impact on certain economic factors, such as investments and inflation. Investors are most affected by this uncertainty, as they have no clear idea how their investment decisions will impact the economy. In light of this, the researcher has designed this study to explore and analyze the impact of oil price shocks (OPS) in Australia on EPU. Two categories of OPS have been taken into account: oil supply shocks (OSS) and oil shocks (OS) as a result of global demand (GD). The data collected in this study is a time series that covers a period of 28 years in total. Following the data collection, the researcher applied different techniques and tests-the most important of which was a Vector Auto Regression (VAR) model. The results of the current study, which were obtained through the application of a VAR model, indicate that the impact of OPS on EPU varies depending on the time period. In the short-term, the impact is positive; however, in the medium-term, the impact becomes negative and, in the long-term, this impact becomes positive and significant again

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“…Economic policy uncertainty (EPU), as a dominant indicator of many events, has a significant external shock on crude oil price fluctuations [1][2][3]. On the one hand, EPU has an impact on crude oil price volatility through commodity market.…”

Section: Introductionmentioning

confidence: 99%

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

et al. 2020

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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.

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Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective

Cited by 136 publications

References 39 publications

Coronavirus and Oil Price Crash

Coronavirus and Oil Price Crash

How Does Uncertainty in Economic Policy React to Oil Price Shocks in Australia?

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

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