Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195678 
Year of Publication: 
2018
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 6 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-11
Publisher: 
MDPI, Basel
Abstract: 
Previous research has assessed the impact of policy uncertainty on a few macro variables. In this paper, we consider its impact on oil prices. Oil prices are usually determined in global markets by the law of demand and supply. Our concern in this paper is to determine which country's policy uncertainty measure has an impact on oil prices. Using both the linear and the nonlinear Autoregressive Distributed Lag (ARDL) methods, we find that while policy uncertainty measures of Canada, China, Europe, Japan, Russia, South Korea, and the U.S. have short-run effects, short-run effects last into the long-run asymmetric effects only in the case of China. This may reflect the importance and recent surge in China's engagement in world trade.
Subjects: 
policy uncertainty
oil prices
asymmetry
nonlinear ARDL approach
JEL: 
D81
D82
O13
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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