Time-varied causality between US partisan conflict shock and crude oil return

Yifei Cai and Yanrui Wu

Energy Economics, 2019, vol. 84, issue C

Abstract: To investigate the causality between US partisan conflict shock and crude oil return, this paper utilizes bootstrap full-sample Granger causality and bootstrap rolling window sub-sample Granger causality tests. Although no evidence supports the causal nexus between partisan conflict shock and crude oil return with full sample data, time-varied causality is observed for particular sub-samples. Such difference can be attributed to the parameter non-constancy in the VAR system. In terms of the empirical results, the US partisan conflict shock causes the fluctuations of the crude oil market in 2008–2009 and 2014–2015. However, such influence is temporary. Inversely, the crude oil return causes US partisan shock in 1985–1986, 1991–1994, 1998–2000 and 2012–2013. These findings indicate crude oil market significantly affects political stability of the US, especially during the periods of the Gulf War and OPEC production cut. The empirical results are robust in terms of both sample setting variation and window size selection.

Keywords: Partisan conflict shock; Crude oil return; Granger causality; Bootstrap rolling window technique; Sub-sample estimation (search for similar items in EconPapers)
JEL-codes: C5 H3 H4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303019

DOI: 10.1016/j.eneco.2019.104512

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