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The impact of financial markets uncertainty on oil price uncertainty

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  • Cohen, Gil

Abstract

This study examines the dynamic interactions between oil-market uncertainty and financial-market volatility indices. We employed three principal statistical tools to ascertain the importance of the explanatory variable on the crude oil volatility index (OVX). As proxies for the uncertainty in the stock and bond markets, we used their respective “fear gauges” (VIX for stocks and MOVE for bonds). Our findings indicate that OVX is positively influenced by changes in the uncertainties of both the bond and stock markets, positively affected by changes in the yields of 10-year U.S. Treasury Notes, and negatively influenced by changes in the S&P 500. Granger's causality tests revealed that while oil price uncertainty is affected by uncertainties in both bond and stock markets, it only has an impact on bond market uncertainty and not on stock market uncertainty. The results from Neural Networks (NN) highlighted that bond market uncertainty is the primary predictor of oil market uncertainty, followed by the S&P 500 and the VIX.

Suggested Citation

  • Cohen, Gil, 2026. "The impact of financial markets uncertainty on oil price uncertainty," Chaos, Solitons & Fractals, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:chsofr:v:206:y:2026:i:c:s0960077926001165
    DOI: 10.1016/j.chaos.2026.117975
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