کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7350662 | 1476691 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Oil prices and news-based uncertainty: Novel evidence
ترجمه فارسی عنوان
قیمت نفت و عدم اطمینان مبتنی بر اخبار: شواهد جدید
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
In this paper, using news implied volatility (NVIX) as a key variable to measure news-based uncertainty, we investigate whether the world price of oil and three classical oil shocks affect news-based uncertainty, or vice versa. Our analysis is conducted through the news mechanism that is unrelated to fundamentals. This research contributes to the literature on the effect of oil prices on news-based uncertainty by studying the dynamics, in both the time and frequency domains, using the wavelet coherence analysis. Our results illustrate that oil prices exhibit a statistically and economically significant leading role on NVIX, especially in the long run. Further, we distinguish the different impacts of oil shocks and find that the oil supply and aggregate demand shocks usually play a leading role on relatively long-term NVIX while the oil specific demand shocks are sensitive to the fluctuations of NVIX. We also find that the rules of comovement between oil prices (oil shocks) and news-based uncertainty change at different frequencies and times. They usually move together in opposite directions with the exception of the oil supply shocks and NVIX. These findings apply to both oil spot and futures markets. Our results present new and interesting implications for investors and policy makers by supporting the news reallocation channel as an important transmission mechanism from oil markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 72, May 2018, Pages 331-340
Journal: Energy Economics - Volume 72, May 2018, Pages 331-340
نویسندگان
Zhi Su, Man Lu, Libo Yin,