Crude Oil Price Movements between Fundamental and Uncertainty: Evidence from Frequency Causality Tests

Amine Mounir
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Amine Mounir: ESCA Ecole de Management, Lot 67-3, Finance City (CFC), Bd de l A ropostale, Casablanca 20250 Morocco.

International Journal of Energy Economics and Policy, 2023, vol. 13, issue 3, 428-433

Abstract: This paper studies the cyclo-stationary causality of crude oil price movements using (1) net inventory withdrawals as a fundamental related factor and (2) the VIX index as an uncertainty/financial related factor. It uses frequency causality tests to assess their predictive power for crude oil movements with different time cycles. Results show that WTI crude oil prices had a quick reaction to oil net inventory withdrawals movements and a lesser extent to VIX before 2010. However, this result reversed after, revealing no predictive power of the fundamental related factor while the VIX is observed as a persistent leading indicator with high frequencies over the period 2010:12 - 2022:06.

Keywords: Crude oil; Frequnecy Causality Tests; VIX; Frequency domain (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 E32 Q47 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2023-03-47

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