IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v95y2024ics1059056024004714.html
   My bibliography  Save this article

Dynamic interactions among trade policy uncertainty, climate policy uncertainty, and crude oil prices

Author

Listed:
  • He, Zhifang
  • Dong, Tianqi
  • Qian, Wanchuan
  • Xu, Wei

Abstract

This study explores the dynamic relationships among trade policy uncertainty (TPU), climate policy uncertainty (CPU) and crude oil prices (WTI) through Granger causality, TVP-VAR and TVP-VAR-DY analysis. It is found that there is a two-way causality between TPU and WTI, CPU and WTI, while a one-way causality from TPU to CPU. Based on these results, the time-varying relationships are further analyzed, revealing a negative interaction between TPU and WTI, a positive relationship between CPU and WTI, and a positive effect of TPU on CPU. Moreover, these relationships are time-varying and exhibit distinct patterns at different time points. For instance, the negative interaction between TPU and WTI is strongest during the 2008 financial crisis, while the positive interaction between CPU and WTI is most significant during the COVID-19 pandemic. TPU shocks have an increasing positive impact on CPU and the effect during the short run is the most significant, which is strongest during the Paris Agreement in 2016. Finally, the spillover effect results suggest that CPU is a net spillover receiver, while TPU and WTI are net spillover transmitters.

Suggested Citation

  • He, Zhifang & Dong, Tianqi & Qian, Wanchuan & Xu, Wei, 2024. "Dynamic interactions among trade policy uncertainty, climate policy uncertainty, and crude oil prices," International Review of Economics & Finance, Elsevier, vol. 95(C).
    • Handle: RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004714
    DOI: 10.1016/j.iref.2024.103479
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059056024004714
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2024.103479?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004714. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.