 (A)symmetric time-varying effects of uncertainty fluctuations on oil price volatility: A nonlinear ARDL investigationResources Policy, 2021, vol. 73, issue C Abstract: Limited number of literature studies looked at the link between uncertainty and oil price volatility. However, the asymmetric relationship regarding this nexus remains relatively unexplored area in the literature. In this paper, we adopt asymmetric analysis for the uncertainty-oil price nexus, via employing the nonlinear autoregressive distributed lag model (NARDL) of Shin et al. (2014). We utilize three uncertainty indices; economic policy uncertainty, global geopolitical risk, and world uncertainty. The paper finds evidence of long-run relationship (cointegration), using monthly data from 1990 to 2020. The NARDL findings show long-run asymmetric effect of economic policy uncertainty and global geopolitical risk on WTI oil prices, however, asymmetric short-run effect was documented for global geopolitical risk only. The empirical inferences highlight that economic policy uncertainty and global geopolitical risk are more suitable and proper indices for analyzing the impact of uncertainty on oil price volatility. Keywords: Uncertainty; Oil price; Asymmetric; Cointegration; NARDL (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002233 DOI: 10.1016/j.resourpol.2021.102210 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.