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

dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorBekiros, Stelios
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2016-10-14T09:39:16Z
dc.date.issued2017-11
dc.description.abstractA recent 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 k-th order nonparametric quantile causality test, to analyze whether EPU and EMU predicts stock returns and volatility. Based on daily data covering the period of 2nd January, 1986 to 8th 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.departmentEconomicsen_ZA
dc.description.embargo2017-09-30
dc.description.librarianhb2016en_ZA
dc.description.urihttp://link.springer.com/journal/181en_ZA
dc.identifier.citationBalcilar, 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.issn0377-7332 (print)
dc.identifier.issn1435-8921 (online)
dc.identifier.other10.1007/s00181-016-1150-0
dc.identifier.urihttp://hdl.handle.net/2263/57316
dc.language.isoenen_ZA
dc.publisherSpringeren_ZA
dc.rights© Springer-Verlag Berlin Heidelberg 2016. The original publication is available at http://link.springer.comjournal/181.en_ZA
dc.subjectUncertaintyen_ZA
dc.subjectOil marketsen_ZA
dc.subjectVolatilityen_ZA
dc.subjectQuantile causalityen_ZA
dc.subjectEconomic policy uncertainty (EPU)en_ZA
dc.subjectEquity market uncertainty (EMU)en_ZA
dc.titleThe role of the news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality methoden_ZA
dc.typePostprint Articleen_ZA

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