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. |
Consultants: | |
Work type: | Finance, Financial Markets and Banking Masters |
Language: | English |
Pages: | 69 |
Awards and prizes: | |
Link: | https://is.cuni.cz/webapps/zzp/detail/165878/ |
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. |