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Do pandemic, trade policy and world uncertainties affect oil price returns?

Hammoudeh, Shawkat, Uddin, Gazi Salah, Sousa, Ricardo M., Wadström, Christoffer and Sharmi, Rubaiya Zaman (2022) Do pandemic, trade policy and world uncertainties affect oil price returns? Resources Policy, 77. ISSN 0301-4207

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Identification Number: 10.1016/j.resourpol.2022.102705


We investigate the influence of pandemic and trade policy uncertainty on the dynamics of oil price returns over the two last decades, using a Mixed-Frequency Vector Autoregressive (MF-VAR) model. We find that pandemic uncertainty and, more importantly, trade policy uncertainty significantly explain EU Brent and WTI oil price returns. Additionally, pandemic and trade policy uncertainty shocks are linked with lower (higher) oil price returns in the short-term (medium-term). Finally, while our mixed-frequency approach captures the persistent response of oil price returns to the uncertainty shocks, the single common-frequency (i.e., quarterly) framework only uncovers a muted reaction.

Item Type: Article
Official URL:
Additional Information: © 2022 Elsevier Ltd
Divisions: Economics
Subjects: H Social Sciences > HV Social pathology. Social and public welfare. Criminology
R Medicine > RA Public aspects of medicine > RA0421 Public health. Hygiene. Preventive Medicine
H Social Sciences > HF Commerce
JEL classification: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C30 - General
Date Deposited: 21 Apr 2022 15:24
Last Modified: 02 Jul 2022 00:06

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