The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?
Resources Policy
; 82, 2023.
Article
in English
| Scopus | ID: covidwho-2305896
ABSTRACT
Implied volatility index is a popular proxy for market fear. This paper uses the oil implied volatility index (OVX) to investigate the impact of different uncertainty measures on oil market fear. Our uncertainty measures consider multiple perspectives, specifically including climate policy uncertainty (CPU), geopolitical risk (GPR), economic policy uncertainty (EPU), and equity market volatility (EMV). Based on the time-varying parameter vector autoregression (TVP-VAR) model, our empirical results show that the impact of CPU, GPR, EPU, and EMV on OVX is time-varying and heterogeneous due to these uncertainty measures containing different information content. In particular, the CPU has become increasingly important for triggering oil market fear since the recent Paris Agreement. During the COVID-19 pandemic, CPU, EPU, and EMV, rather than GPR, play a prominent role in increasing oil market fear. © 2023 Elsevier Ltd
Climate policy uncertainty; Implied volatility index; Oil market fear; Time-varying impact; TVP-VAR model; Climate models; Commerce; Regression analysis; Risk assessment; Uncertainty analysis; Value engineering; Climate policy; Implied volatility; Oil market; Parameter vectors; Time varying; Time varying parameter; Time-varying parameter vector autoregression model; Uncertainty; Vector autoregression models; Volatility index; COVID-19
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Experimental Studies
Language:
English
Journal:
Resources Policy
Year:
2023
Document Type:
Article
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