Detail práce

Causal relationship between Uncertainty and Crude Oil Prices: //A Quantile Regression approach

Autor: Mgr. Andrés Mauricio Ruiz Vargas, BA
Rok: 2017 - zimní
Vedoucí: doc. PhDr. Jozef Baruník Ph.D.
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 69
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/165878/
Abstrakt: This work considers the causal relationship between the news-based uncertainty measures and WTI
crude oil price within the quantile causality framework by using daily data for a period from January 4,
2000, to November 14, 2016. We find that the Granger non-causality test in quantiles between crude oil
returns and the news-based uncertainty measures uncover the causal relationship over different levels of
conditional quantiles of the crude oil returns. In particular, there exists a strong causal relationship in the
tails of the crude oil returns distribution.

Partneři

ČSOB
Deloitte
McKinsey & Company

Sponzoři

CRIF
EY