The role of news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method

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dc.contributor.author Balcilar, Mehmet
dc.contributor.author Bekiros, Stelios
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2017-11-09T12:06:17Z
dc.date.issued 2017-11
dc.description.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. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2018-11-30
dc.description.librarian hj2017 en_ZA
dc.description.uri http://link.springer.com/journal/181 en_ZA
dc.identifier.citation Balcilar, M., Bekiros, S. & Gupta, R. The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method. Empirical Economics (2017) 53: 879-889. https://doi.org/10.1007/s00181-016-1150-0. en_ZA
dc.identifier.issn 0377-7332 (print)
dc.identifier.issn 1435-8921 (online)
dc.identifier.other 10.1007/s00181-016-1150-0
dc.identifier.uri http://hdl.handle.net/2263/63083
dc.language.iso en en_ZA
dc.publisher Springer en_ZA
dc.rights © Springer-Verlag Berlin Heidelberg 2016. The original publication is available at http://link.springer.comjournal/181. en_ZA
dc.subject Economic policy uncertainty (EPU) en_ZA
dc.subject Equity market uncertainty (EMU) en_ZA
dc.subject Uncertainty en_ZA
dc.subject Oil markets en_ZA
dc.subject Volatility en_ZA
dc.subject Quantile causality en_ZA
dc.subject Policy uncertainty en_ZA
dc.subject Price shocks en_ZA
dc.subject Parameter en_ZA
dc.subject Impact en_ZA
dc.subject Return en_ZA
dc.title The role of news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method en_ZA
dc.type Postprint Article en_ZA


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