Causal relationship between Uncertainty and Crude Oil Prices: //A Quantile Regression approach
|Author:||Mgr. Andrés Mauricio Ruiz Vargas, BA|
|Year:||2017 - winter|
|Leaders:|| doc. PhDr. Jozef Baruník Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||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.