Energy market uncertainty and the impact on the crude oil prices

JOURNAL OF ENVIRONMENTAL MANAGEMENT

卷:298

Article

Xu, Bing¹  Fu, Rong²  Lau, Chi Keung Marco³ 

[1] Heriot Watt Univ, Edinburgh Business Sch, Edinburgh EH14 4AS, Midlothian, Scotland

[2] Rokos Capital Management, London W1S 2ET, England

[3] Teesside Univ, Business Sch, Middlesbrough TS1 3BX, Cleveland, England

关键词: Oil prices;    Uncertainty;    Alternative energy demand;    Carbon neutrality;    Bayesian VAR;    Quantile VAR;   

DOI  :  10.1016/j.jenvman.2021.113403

来源: Elsevier

【 摘 要 】

Our paper proposes a novel measure of global energy market uncertainty and studies its impact on oil prices. The current literature primarily relies on a single or small number of observable variables, or general macroeconomic uncertainty (JLN) and economic policy uncertainty (EPU) indices to reflect energy market uncertainty. Using a Factor Augmented Vector Autoregression model (FAVAR), we construct time-varying global energy market uncertainty in a data-rich environment. Our estimates show variations from JLN and EPU proxies. The results reveal that real oil prices respond strongly to our proposed aggregate energy market uncertainty shocks. We also find heterogeneous responses to different types and magnitudes of uncertainty shocks. The real price of oil is affected the most under unexpected strong demand for alternative energy sources scenario.

【 授权许可】

Free