Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data
Abstract:We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and July 1925, and employ a quantile-predictive-regression approach, which is more informative relative to a linear model, as it investigates the ability of oil-price uncertainty to forecast the entire conditional distribution of stock returns Based on a recursive est… Show more
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