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Crude Oil Price Movements between Fundamental and Uncertainty: Evidence from Frequency Causality Tests

Author

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  • Amine Mounir

    (ESCA Ecole de Management, Lot 67-3, Finance City (CFC), Bd de l A ropostale, Casablanca 20250 Morocco.)

Abstract

This paper studies the cyclo-stationary causality of crude oil price movements using (1) net inventory withdrawals as a fundamental related factor and (2) the VIX index as an uncertainty/financial related factor. It uses frequency causality tests to assess their predictive power for crude oil movements with different time cycles. Results show that WTI crude oil prices had a quick reaction to oil net inventory withdrawals movements and a lesser extent to VIX before 2010. However, this result reversed after, revealing no predictive power of the fundamental related factor while the VIX is observed as a persistent leading indicator with high frequencies over the period 2010:12 - 2022:06.

Suggested Citation

  • Amine Mounir, 2023. "Crude Oil Price Movements between Fundamental and Uncertainty: Evidence from Frequency Causality Tests," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 428-433, May.
    • Handle: RePEc:eco:journ2:2023-03-47
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    References listed on IDEAS

    as
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    3. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
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    More about this item

    Keywords

    Crude oil; Frequnecy Causality Tests; VIX; Frequency domain;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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