Economics

Modelling and forecasting crude oil price volatility with climate policy uncertainty

M. He, Y. Zhang, et al.

Explore the intriguing connection between climate policy uncertainty and crude oil price volatility discovered by researchers Mengxi He, Yaojie Zhang, Yudong Wang, and Danyan Wen. Their findings illuminate how fluctuations in policy uncertainty can forecast oil market dynamics, especially during economic booms. Don't miss out on this critical insight!

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Playback language: English

Index

Abstract

This paper investigates the predictability of crude oil price volatility using climate policy uncertainty (CPU). Empirical results show that changes in CPU, rather than the original CPU index, can forecast oil volatility both in-sample and out-of-sample. Asset allocation exercises demonstrate the economic significance of this finding, particularly during economic expansions. The predictive ability is linked to the impact of CPU changes on crude oil consumption.

Publisher

Humanities and Social Sciences Communications

Published On

Aug 14, 2024

Authors

Mengxi He, Yaojie Zhang, Yudong Wang, Danyan Wen

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