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Uncertainty is a huge concern for many investors firms and governments


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Document on Subject : "Uncertainty is a huge concern for many investors firms and governments"— Transcript:

1 1 Overview Uncertainty is a huge c
1 Overview Uncertainty is a huge concern for many investors, firms and governments. It will increas e the operation al risk s and deter the investment and the hiring of new employees. These will give the pressure on the macroecon o my, like GDP growth, unemployment rate etc . Recently , considerable uncertainty has been caused by political events such as armed conflict , the 9/11 attacks, the failure of L ehman B rothers, the European debt crisis, Brexit, the president ial election in US, the M iddle E ast chaos etc. T hese events can have dramatic impact on the whole economy. What is more , they will weaken the confidence and incur more serious consequence s . Baker et al. ( 2016) use news paper articles to construct a n uncertainty index. Including human readings of 12,000 newspaper articles, they demonstrate that their index proxied for movements in policy - related economic uncertainty. Jurado et al. (2015) exploite a data rich environment to provide direct econometric estimate s of time - varying macroeconomic uncertainty. As t he Crude o il market as both an important commodity market and financial market, it is very sensitive to uncertainty. According to the efficient market hypothesis, all the public information is reflect ed in the price. T h us, in th is study , we analys e the relationship between various econom ic policy uncertainty measures and oil market variables . Methods In th is study, we use a standard VAR model to analys e the relationship between ten uncertanity indexes, the oil price, the number of US crude oil rotary rig s in operation (oil rig for short) and US ending stocks excluding SPR of crude oil and petroleum products ( oil inventory) . The data of crude oil market variables are from US E nergy I nformation A dministration (EIA) . S even uncertainty indexes are from Baker et al. ( 201

2 6) . They are financial stress ind icat
6) . They are financial stress ind icator (FSI) , geopolitical risk index (GPR) , US news - based uncertainty index, US three - component [ HOW DOES ECONOMIC AND POLICY UNCERTAINTY AFFECT THE CRUDE OIL MARKET? ] [ H ongjie Z hao , U niversity of Aberdeen B usiness S chool , +44 07849798763 , h.zhao.19@abdn.ac.uk ] [Marc Gronwald, University of Aberdeen Business School,+44 01224272204, mgronwald@abdn.ac.uk ] [Alexander Kemp, University of Aberdeen Business School, a.g.kemp@abdn.ac.uk] uncertainty index, global economic policy uncertainty (GEPU) at PPP - level and current price level respectively a nd China economic policy uncertainty index . The researchers in N orthwestern U niversity, S tandford U niversity and U niversity of Chicago work collectively to publish these datas on their website regularly. The other three indexes, financial uncertainty index, macro uncertainty index and real uncertainty index at one month forecast ahead, are from Jurado at al. ( 2015) . Firstly a standard VAR model with oil price, oil rig and oil inventory are estimated and t hen one of the ten uncertainty indexes is add ed separately to the basic model . Finally , Granger causality test , impulse response analysis and forecast error variance decomposition method are also used to facilitate the understanding of relationships among variables. Diebold and Yilmaz spill - over index method (Diebold and Yilmaz, 2012) is used to indicate the overall connection level in th is model with 13 variables . Results In all eleven VAR models , oil price granger causes oil rig and oil inventory significantly . Oil price has relatively big impact on the crude oil rotary rigs in operation and the oil inventory . Except from FSI, oil rig granger causes oil price in the other 10 models. Thus, they show a significant bi - directional relationship between oil price and oil ri

3 g . The m ain finding is that oil pr
g . The m ain finding is that oil price granger causes uncertainty indexes and oil inventory has impact on oil price and uncertainty indexes. However it is important to note that not for all uncertainty measures this result holds. Oil price granger causes US news - b ased, US three - components, GEPU current, GEPU PPP, financial uncertainty, and macro uncertainty significantly which indicates oil price is one source of uncertainty . In the VAR models with FSI , GPR, macro uncertainty, financial uncertainty, US three components and real uncertainty , uncertainty indexes granger cause oil price. In the models with GEPU PPP, GEPU current, US three component and US news based, oil inventory granger causes uncertainty indexes. And China unce rtainty, macro uncertainty, real uncertainty, GEPU PPP, US three - components and US news - ba sed granger cause oil inventory. T he impulse response analysis shows oil price is a negative shock for oil inventory significantly . With the increasing of oil price, oil inventory will decrease, v ice versa . Response of oil rig to oil inventory is negative in the short term and becomes positive in the long term significantly . Response of oil price to all the uncertainty indexes are negative in the short term significant ly , except for China uncertainty index which is positive . With respect to the long term, the response becomes insignificant and flucatuste s around zero line . In the forecast error variance decomposition graphs, oil price has big power to explain the variance in oil rig and oil inventory. Oil price can explain oil rig and oil inventory roughly 40% and 20% respectively. It shows the importance of oil price in the oil market. The overall connection is 76.4% from connectedness table . The biggest contributors to others are GPR, USA news - based and oil price. The biggest receivers from others are GEPU current, GEPU PPP a nd China e

4 conomic and policy uncertainty. C o n
conomic and policy uncertainty. C o nclusions Oil is still an important fuel for the society in the near future, even in the background of energy transition. Previously researchers analysed the relationship among uncertainty index, oil production and oil prices (Kang and Ratti, 2013; Kang et al. 2017) . In this study, the innovation is to include oil rig and oil inventory data in the model which can reflect closely the impact of uncertainty on oil market. I t is evident that economic policy uncertainty and oil market have tight connections. Especially for the oil price and oil inventory , they both affect and are affected by uncertainty indexes significantly . oil is an important political resource , industrial input and financial product , economic policy uncertainty indexes can be good indicator s and aspects to analyse variations in the oil market. The relationships should be analysed deeply and thoroughly in the future. References Diebold, F. X. and Yilmaz, K. (2012) ‘Better to give than to receive: Predictive directional measurement of volatility spillovers’, International Journal of Forecasting . Elsevier B.V., 28(1), pp. 57 – 66. doi: 10.1016/j.ijforecast.2011.02.006. Kang, W. and Ratti, R. A. (2013) ‘Structural oil price shocks and policy uncertainty’, Economic Modelling . Elsevier B.V., 35, pp. 314 – 319. doi: 10.1016/j.econmod.2013.07.025. Kang, W., Ratti, R. A. and Vespignani, J. L. (2017) ‘Oil price shocks and policy uncertainty: New evidence on the effects of US and non - US oil production’, Energy Economics . Elsevier B.V., 66, pp. 536 – 546. doi: 10.1016/j.eneco.2017.01.027. Kyle Jurado Sydney C. Ludvigson, and S. N. (2015) ‘Me asuring uncertainty’, American Economic Review , 105(3), pp. 1177 – 1216. doi: 10.1016/0305 - 0483(75)90069 - 9. Scott R. Baker, N. B. and S. J. D. (2016) ‘Measuring Economic Policy Uncertainty’.