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Do Economic Policy Uncertainty, Climate Policy Uncertainty, and Financial Globalization Uncertainty Co-Move with Oil Market Fear? A Frequency Domain Analysis

Author

Listed:
  • Ibrahim Farouq

    (Faculty of Business and Management, Universiti Sultan Zainal Abidin, Gong Badak Campus, Terengganu, Malaysia)

  • Zunaidah Sulong

    (Faculty of Business and Management, Universiti Sultan Zainal Abidin, Gong Badak Campus, Terengganu, Malaysia)

Abstract

Using a nonlinear autoregressive distributed lag and frequency domain analysis, this paper examines the impact of various uncertainty indicators on oil market fear (OMF) in Nigeria, from 1997M1–2020M3. The results show that economic policy uncertainty (EPU), climate policy uncertainty (CPU), and financial globalization uncertainty (FGU) have perverse effects on the OMF. We observed that a bi-directional causal relationship between EPU and the OMF exists temporarily. A unidirectional causal effect exists from CPU to OMF. We further show a bi-directional causal relationship between OMF and FGU. Policy recommendations are discussed accordingly.

Suggested Citation

  • Ibrahim Farouq & Zunaidah Sulong, 2024. "Do Economic Policy Uncertainty, Climate Policy Uncertainty, and Financial Globalization Uncertainty Co-Move with Oil Market Fear? A Frequency Domain Analysis," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-23, February.
    • Handle: RePEc:wsi:jicepx:v:15:y:2024:i:01:n:s1793993324500030
    DOI: 10.1142/S1793993324500030
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    More about this item

    Keywords

    Frequency domain; uncertainty; asymmetry; economic policy; financial globalization;
    All these keywords.

    JEL classification:

    • F64 - International Economics - - Economic Impacts of Globalization - - - Environment
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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