Climate Policy Uncertainty and Crude Oil Market Volatility

Afees Salisu, Philip Omoke and Olalekan Fadiya ()
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Olalekan Fadiya: Centre for Econometrics and Applied Research, Ibadan, Nigeria

Energy RESEARCH LETTERS, 2023, vol. 4, issue 1, 1-5

Abstract: In this study, we pursue two main innovations. First, we evaluate the predictive value of climate policy uncertainty (CPU) for oil market volatility. Second, we demonstrate how an investor can exploit the information contents of CPU to gain higher returns. We find that increased values of CPU heighten crude oil market risk, while higher forecast gains are achieved in a model that accommodates CPU. We further show that observing CPU offers higher portfolio returns than ignoring it.

Keywords: Climate policy uncertainty; Crude oil market volatility; Profit maximization strategies; Forecast evaluation (search for similar items in EconPapers)
JEL-codes: D81 F37 G17 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)

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