Crude Oil Price Movements between Fundamental and Uncertainty: Evidence from Frequency Causality Tests
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Keywords:Crude oil, Frequnecy Causality Tests, VIX, Frequency domain
AbstractThis paper studies the cyclo-stationary causality of crude oil price movements using (1) net inventory withdrawals as a fundamental related factor and (2) the VIX index as an uncertainty/financial related factor. It uses frequency causality tests to assess their predictive power for crude oil movements with different time cycles. Results show that WTI crude oil prices had a quick reaction to oil net inventory withdrawals movements and a lesser extent to VIX before 2010. However, this result reversed after, revealing no predictive power of the fundamental related factor while the VIX is observed as a persistent leading indicator with high frequencies over the period 2010:12 - 2022:06.
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How to Cite
Mounir, A. (2023). Crude Oil Price Movements between Fundamental and Uncertainty: Evidence from Frequency Causality Tests. International Journal of Energy Economics and Policy, 13(3), 428–433. https://doi.org/10.32479/ijeep.14079