EconPapers    
Economics at your fingertips  
 

Uncertainty and Crude Oil Returns

Riadh Aloui (), Rangan Gupta () and Stephen Miller ()

No 201503, Working Papers from University of Pretoria, Department of Economics

Abstract: We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct multivariate distributions of time-series data permit the calculation of the dependence structure between the series independently of the marginal distributions. Further, we implement the copula estimation using a rolling window method to allow for a time-varying effect of equity and economic policy uncertainty on oil returns. The results show that higher uncertainty, as measured by equity and economic policy uncertainty indices, significantly increase crude-oil returns only during certain periods of time. That is, we find a positive dependence prior to and into the financial crisis and Great Recession, Interestingly, estimation of the copula over the entire sample period leads to a negative dependence between the equity and economic policy indices and the crude-oil return.

Keywords: Uncertainty; oil shocks; copulas (search for similar items in EconPapers)
Pages: 20 pages
Date: 2015-02
New Economics Papers: this item is included in nep-ene
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Uncertainty and crude oil returns (2016) Downloads
Working Paper: Uncertainty and crude oil returns (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201503

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().

 
Page updated 2021-01-22
Handle: RePEc:pre:wpaper:201503