气候变化领域集成服务门户(CCPortal): Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching

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DOI	10.1016/j.resourpol.2023.103886
	Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching
	Yu, Mengyan; Umair, Muhammad; Oskenbayev, Yessengali; Karabayeva, Zhansaya
发表日期	2023
ISSN	0301-4207
EISSN	1873-7641
卷号	85
英文摘要	Understanding the complex relationship between global crude oil market volatility and monetary uncertainty motivates the study. Understanding crude oil's volatility is crucial because it affects the economy and geopolitics. Monetary uncertainty, caused by monetary policy decisions, exchange rate fluctuations, and global economic conditions, could affect crude oil markets. Thus, monetary uncertainty and crude oil volatility must be examined to understand the dynamics and inform policy. In this empirical work, we examine the effects of monetary uncertainty on global crude oil price volatility using a time-varying transition probabilities Markov regimeswitching GARCH model (TVTP-MS-GARCH). Our approach differs from prior research by considering the potential nonlinearity and shifting patterns in the relationship between crude oil volatility and monetary uncertainty. Our in-sample analysis provides interesting evidence for regime changes between the two monetary variables. The results of our out-of-sample testing show that the asymmetric TVTP-MS-GARCH model outperforms the symmetric version in predicting crude oil volatility. This suggests that monetary uncertainty has an asymmetrical impact on crude oil price volatility. We perform several robustness tests to validate our findings, including alternate lag specifications of monetary uncertainty and varying estimation window sizes. These tests further reinforce the importance of considering the dynamic changes in monetary uncertainty when attempting to predict crude oil volatility. Overall, our research highlights the need for a more nuanced approach to understanding the relationship between crude oil prices and monetary uncertainty.
英文关键词	Monetary uncertainty; Global oil price volatility; TVTP-MS-GARCH model; Regime switching approach
语种	英语
WOS研究方向	Environmental Studies
WOS类目	Social Science Citation Index (SSCI)
WOS记录号	WOS:001074649600001
来源期刊	RESOURCES POLICY
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/281341
作者单位	Jilin Normal University; Chongqing University; Narxoz University
推荐引用方式 GB/T 7714	Yu, Mengyan,Umair, Muhammad,Oskenbayev, Yessengali,et al. Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching[J],2023,85.
APA	Yu, Mengyan,Umair, Muhammad,Oskenbayev, Yessengali,&Karabayeva, Zhansaya.(2023).Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching.RESOURCES POLICY,85.
MLA	Yu, Mengyan,et al."Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching".RESOURCES POLICY 85(2023).