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. |
