Do pandemic, trade policy and world uncertainties affect oil price returns?

Shawkat Hammoudeh, Gazi Uddin, Ricardo Sousa, Christoffer Wadström and Rubaiya Zaman Sharmi

Resources Policy, 2022, vol. 77, issue C

Abstract: We investigate the influence of pandemic and trade policy uncertainty on the dynamics of oil price returns over the two last decades, using a Mixed-Frequency Vector Autoregressive (MF-VAR) model. We find that pandemic uncertainty and, more importantly, trade policy uncertainty significantly explain EU Brent and WTI oil price returns. Additionally, pandemic and trade policy uncertainty shocks are linked with lower (higher) oil price returns in the short-term (medium-term). Finally, while our mixed-frequency approach captures the persistent response of oil price returns to the uncertainty shocks, the single common-frequency (i.e., quarterly) framework only uncovers a muted reaction.

Keywords: Oil price fluctuations; Pandemic uncertainty; Trade policy uncertainty; And world uncertainty; Mixed-frequency VAR model; Mixed-frequency granger-causality test (search for similar items in EconPapers)
JEL-codes: C30 D80 Q47 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001532

DOI: 10.1016/j.resourpol.2022.102705

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