IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

The Role Of News-Based Uncertainty Indices In Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method

Listed author(s):
  • Mehmet Balcilar

    ()

    (Department of Economics, Eastern Mediterranean University)

  • Rangan Gupta

    ()

    (Department of Economics, University of Pretoria)

  • STELIOS BEKIROS

    ()

    (European University Institute (EUI))

We emphasize the role of news-based economic policy and equity market uncertainty indices as robust drivers of oil price fluctuations. In that, we utilize a new hybrid nonparametric quantile causality methodology in order to investigate whether EPU and EMU uncertainty measures incorporate critical predictability for oil market returns and volatility. Based on an updated daily database spanning January 1986 to December 2014, we find that both measures present strong predictability over the entire distribution of oil around the median, yet more importantly for volatility forecastability covers the entire distribution except minor divergences in the tails. Therefore, an inherent heterogeneity is observed and an asymmetric pattern over the distribution of oil returns and its volatility exists with respect to uncertainty predictability.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-02.pdf
File Function: First version, 2015
Download Restriction: no

Paper provided by Eastern Mediterranean University, Department of Economics in its series Working Papers with number 15-02.

as
in new window

Length: 12 pages
Date of creation: 2015
Handle: RePEc:emu:wpaper:15-02.pdf
Contact details of provider: Phone: 90 (392) 630-1291
Fax: 90 (392) 365-1017
Web page: http://economics.emu.edu.tr/

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as
in new window


  1. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Paper Series 4082, WU Vienna University of Economics and Business.
  2. Jones, Paul M. & Olson, Eric, 2013. "The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model," Economics Letters, Elsevier, vol. 118(1), pages 33-37.
  3. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, 05.
  4. Jeong, Kiho & Härdle, Wolfgang K. & Song, Song, 2012. "A Consistent Nonparametric Test For Causality In Quantile," Econometric Theory, Cambridge University Press, vol. 28(04), pages 861-887, August.
  5. Kang, Wensheng & Ratti, Ronald A., 2013. "Structural oil price shocks and policy uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 314-319.
  6. Colombo, Valentina, 2013. "Economic policy uncertainty in the US: Does it matter for the Euro area?," Economics Letters, Elsevier, vol. 121(1), pages 39-42.
  7. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 305-318.
  8. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
  9. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "The impact of oil price shocks on the stock market return and volatility relationship," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 41-54.
  10. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  11. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  12. Lux, Thomas & Segnon, Mawuli & Gupta, Rangan, 2016. "Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data," Energy Economics, Elsevier, vol. 56(C), pages 117-133.
  13. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
  14. Nishiyama, Yoshihiko & Hitomi, Kohtaro & Kawasaki, Yoshinori & Jeong, Kiho, 2011. "A consistent nonparametric test for nonlinear causality—Specification in time series regression," Journal of Econometrics, Elsevier, vol. 165(1), pages 112-127.
  15. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic spillovers of oil price shocks and economic policy uncertainty," Energy Economics, Elsevier, vol. 44(C), pages 433-447.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:emu:wpaper:15-02.pdf. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mehmet Balcilar)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.