Work detail

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.

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