The role of the news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method
dc.contributor.author | Balcilar, Mehmet | |
dc.contributor.author | Bekiros, Stelios | |
dc.contributor.author | Gupta, Rangan | |
dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
dc.date.accessioned | 2016-10-14T09:39:16Z | |
dc.date.issued | 2017-11 | |
dc.description.abstract | A 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.department | Economics | en_ZA |
dc.description.embargo | 2017-09-30 | |
dc.description.librarian | hb2016 | 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/2263/57316 | |
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 | Uncertainty | en_ZA |
dc.subject | Oil markets | en_ZA |
dc.subject | Volatility | en_ZA |
dc.subject | Quantile causality | en_ZA |
dc.subject | Economic policy uncertainty (EPU) | en_ZA |
dc.subject | Equity market uncertainty (EMU) | en_ZA |
dc.title | The role of the news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method | en_ZA |
dc.type | Postprint Article | en_ZA |