Journal article
Do pandemic, trade policy and world uncertainties affect oil price returns?
Resources policy, v 77, 102705
Aug 2022
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
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.
•We assess the impact of pandemic and trade policy uncertainty on oil price returns.•We rely on daily data and a Mixed-Frequency Vector Autoregressive (MF-VAR) model.•Pandemic and trade policy uncertainties explain EU Brent and WTI oil returns.•Uncertainty shocks lower (rise) oil returns in the short-term (medium-term).•Our method ourperforms common-frequency models, capturing persistent oil reactions.
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Details
- Title
- Do pandemic, trade policy and world uncertainties affect oil price returns?
- Creators
- Shawkat Hammoudeh - University of Economics Ho Chi Minh CityGazi Salah Uddin - Linköping UniversityRicardo M. Sousa - University of MinhoChristoffer Wadström - Linköping UniversityRubaiya Zaman Sharmi - Queen Mary University of London
- Publication Details
- Resources policy, v 77, 102705
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000806832800006
- Scopus ID
- 2-s2.0-85127810567
- Other Identifier
- 991019168112904721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Environmental Studies