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Int. J. Financial Stud. 2018, 6(1), 12;

On the Impact of Policy Uncertainty on Oil Prices: An Asymmetry Analysis

The Center for Research on International Economics and Department of Economics, The University of Wisconsin-Milwaukee Milwaukee, Milwaukee, WI 53201, USA
Department of Economics, Penn State University Mont Alto, Mont Alto, PA 17237, USA
School of Business Administration, University of Huston-Victoria, Victoria, TX 77901, USA
Author to whom correspondence should be addressed.
Received: 28 November 2017 / Revised: 29 December 2017 / Accepted: 16 January 2018 / Published: 23 January 2018
(This article belongs to the Special Issue Energy Finance)
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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. View Full-Text
Keywords: policy uncertainty; oil prices; asymmetry; nonlinear ARDL approach policy uncertainty; oil prices; asymmetry; nonlinear ARDL approach

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Bahmani-Oskooee, M.; Harvey, H.; Niroomand, F. On the Impact of Policy Uncertainty on Oil Prices: An Asymmetry Analysis. Int. J. Financial Stud. 2018, 6, 12.

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