The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method |
| |
Authors: | Mehmet Balcilar Stelios Bekiros Rangan Gupta |
| |
Institution: | 1.Department of Economics,European University Institute (EUI),Florence,Italy;2.IPAG Business School,Paris,France;3.Department of Economics,Eastern Mediterranean University,Famagusta,Cyprus;4.Department of Economics,University of Pretoria,Pretoria,South Africa |
| |
Abstract: | A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil price movements. Against this backdrop, this paper uses a kth-order nonparametric quantile causality test, to analyse whether EPU and EMU predict stock returns and volatility. Based on daily data covering the period of 2 January 1986 to 8 December 2014, we find that, for oil returns, EPU and EMU have strong predictive power over the entire distribution barring regions around the median, but for volatility, the predictability virtually covers the entire distribution, with some exceptions in the tails. In other words, predictability based on measures of uncertainty is asymmetric over the distribution of oil returns and its volatility. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|