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Does crude oil price stimulate economic policy uncertainty in BRICS?

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  • Su, Chi-Wei
  • Huang, Shi-Wen
  • Qin, Meng
  • Umar, Muhammad

Abstract

This paper applies the quantile Granger causality test, to explore whether the economic policy uncertainty (EPU) is affected by the crude oil price (COP) shocks in BRICS countries. The empirical results of the causal link present asymmetrical features, such that when the oil markets experience supply shocks, there is a positive influence on the EPU in China, India and Brazil. Moreover, a declining COP has an impact on the EPU in Russia and South Africa. Our findings are consistent with the real business cycle model of the oil price shocks, under the influence of the channels that determine the supply and demand. The BRICS EPU also has an impact on the oil market, but their degree of significance varies, and is related to the demand for oil. Understanding the relationship between EPU and oil markets in BRICS countries can assist policymakers to rebalance of the energy landscape, and also aid in the stabilization of national economies.

Suggested Citation

  • Su, Chi-Wei & Huang, Shi-Wen & Qin, Meng & Umar, Muhammad, 2021. "Does crude oil price stimulate economic policy uncertainty in BRICS?," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:pacfin:v:66:y:2021:i:c:s0927538x21000263
    DOI: 10.1016/j.pacfin.2021.101519
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    More about this item

    Keywords

    Crude oil price; Economic policy uncertainty; Quantile granger causality test; BRICS;
    All these keywords.

    JEL classification:

    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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